A multi-player optimal stopping game based on a spider Brownian bridge
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 process is a skew Brownian bridge, and establish sufficient conditions for the existence of a Nash equilibrium. We derive sufficient conditions for the uniqueness of the Nash equilibrium in the symmetric case, (where the skew Brownian bridge reduces to a standard Brownian bridge and both players have the same payoff structures). We also give examples which show that there can be multiple Nash equilibria. We then extend the framework to the multi-player setting and provide sufficient conditions for the existence of a Nash equilibrium in this more general setting with a spider Brownian bridge.