We study a zero-sum differential game where the players have only an unperfect information on the state of the system. In the beginning of the game only a random distribution on the initial state is available. The main result of the paper is the existence of the value obtained through an uniqueness result for Hamilton-Jacobi-Isaacs equations stated on the space of measure in ℝn. This result is the first step for future work on differential games with lack of information.
Undiscounted Zero Sum Differential Games with Stopping Times