2017
DOI: 10.1515/bejte-2016-0128
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A Competitive Optimal Stopping Game

Abstract: This paper explores a multi-player game of optimal stopping over a finite time horizon. A player wins by retaining a higher value than her competitors do, from a series of independent draws. In our game, a cutoff strategy is optimal, we derive its form, and we show that there is a unique Bayesian Nash Equilibrium in symmetric cutoff strategies. We establish results concerning the cutoff value in its limit and expose techniques, in particular, use of the Budan-Fourier Theorem, that may be useful in other simila… Show more

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Cited by 3 publications
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“…The literature on multiplayer stopping problems is vast as problems can vary on a lot of different levels. For example one can differentiate between zero-sum and non zero-sum games, games with an infinite or finite horizon, games where the distribution of the values is known or unknown, or games where players have only partial or no information about the valuations of their competitors (see for example Whitmeyer (2018) ). A survey by Abdelaziz and Krichen (2007) gives an organized overview of multiplayer optimal stopping problems.…”
Section: Introductionmentioning
confidence: 99%
“…The literature on multiplayer stopping problems is vast as problems can vary on a lot of different levels. For example one can differentiate between zero-sum and non zero-sum games, games with an infinite or finite horizon, games where the distribution of the values is known or unknown, or games where players have only partial or no information about the valuations of their competitors (see for example Whitmeyer (2018) ). A survey by Abdelaziz and Krichen (2007) gives an organized overview of multiplayer optimal stopping problems.…”
Section: Introductionmentioning
confidence: 99%