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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 -dimensional Bessel Bridge
David Hobson, Jingfei Liu
We study the optimal stopping of an -dimensional Bessel bridge for the payoff , where . As a special case we consider the Brownian excursion with the identit…