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PreprintarXiv licencearXiv

A multi-player optimal stopping game based on a spider Brownian motion

  • David Hobson
  • Jingfei Liu
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Abstract

This paper studies a multi-player non-zero-sum optimal stopping game driven by a spider Brownian motion. We study a specific, tractable family of games and the focus is on the existence and uniqueness of subgame-perfect Nash equilibria (SPNE). We begin by analyzing the two-player setting, in which the underlying process is a skew Brownian motion, and establish sufficient conditions for the existence of an SPNE. We then derive sufficient conditions for the uniqueness of the SPNE in the symmetric case, (where the skew Brownian motion reduces to a standard Brownian motion and both players have the same payoff structures). We also give examples which show that there can be multiple SPNE or no SPNE. We then extend the framework to the multi-player setting and provide sufficient conditions for the existence of an SPNE in this more general setting with a spider Brownian motion.

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Cite

BibTeXRIS
BibTeX
@misc{hobson2026multiplayer,
  title = {{A multi-player optimal stopping game based on a spider Brownian motion}},
  author = {David Hobson and Jingfei Liu},
  howpublished = {arXiv},
  year = {2026},
  month = nov,
  doi = {10.48550/arxiv.2607.22416},
  eprint = {2607.22416},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2607.22416},
}
RIS
TY  - UNPB
TI  - A multi-player optimal stopping game based on a spider Brownian motion
AU  - David Hobson
AU  - Jingfei Liu
PY  - 2026
DA  - 2026/11/02
PB  - arXiv
DO  - 10.48550/arxiv.2607.22416
UR  - https://arxiv.org/abs/2607.22416
AB  - This paper studies a multi-player non-zero-sum optimal stopping game driven by a spider Brownian motion. We study a specific, tractable family of games and the focus is on the existence and uniqueness of subgame-perfect Nash equilibria (SPNE). We begin by analyzing the two-player setting, in which the underlying process is a skew Brownian motion, and establish sufficient conditions for the existence of an SPNE. We then derive sufficient conditions for the uniqueness of the SPNE in the symmetric case, (where the skew Brownian motion reduces to a standard Brownian motion and both players have the same payoff structures). We also give examples which show that there can be multiple SPNE or no SPNE. We then extend the framework to the multi-player setting and provide sufficient conditions for the existence of an SPNE in this more general setting with a spider Brownian motion.
ER  -