D. Hobson

activity

20242026

collaborators

4 papers

math.PR2026

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

David Hobson, Jingfei Liu

This paper studies a multi-player non-zero-sum optimal stopping game driven by a spider Brownian bridge. We begin by analyzing the two-player setting, in which the underlying proce…

math.PR2025

Optimal Stopping of a Brownian Excursion and an $α$ -dimensional Bessel Bridge

David Hobson, Jingfei Liu

We study the optimal stopping of an $α$ -dimensional Bessel bridge for the payoff $ϕ (x) = x^{n}$ , where $α, n > 0$ . As a special case we consider the Brownian excursion with the identity f…

q-fin.MF2025

Model-independent upper bounds for the prices of Bermudan options with convex payoffs

David Hobson, Dominykas Norgilas

Suppose $μ$ and $ν$ are probability measures on $R$ satisfying $μ \leq_{c x} ν$ . Let $a$ and $b$ be convex functions on $R$ with $a \geq b \geq 0$ . We are intereste…

math.OC2024

Zero-sum Dynkin games under common and independent Poisson constraints

David Hobson, Gechun Liang, Edward Wang

Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constra…

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

Optimal Stopping of a Brownian Excursion and an α-dimensional Bessel Bridge

Model-independent upper bounds for the prices of Bermudan options with convex payoffs

Zero-sum Dynkin games under common and independent Poisson constraints

Optimal Stopping of a Brownian Excursion and an $α$ -dimensional Bessel Bridge