In a multi-player game,when a player dies does his {cage of hands} stay on my creature?
No, the {Cage of Hands} will disappear with the player. Here's your ruling, and the first example, which applies perfectly to this situation.
800.4a (http://imtgapp.com/forum/index.php?action=imtg;area=rule;number=800.4a): When a player leaves the game, all objects (see rule 109) owned by that player leave the game and any effects which give that player control of any objects or players end. Then, if that player controlled any objects on the stack not represented by cards, those objects cease to exist. Then, if there are any objects still controlled by that player, those objects are exiled. This is not a state-based action. It happens as soon as the player leaves the game. If the player who left the game had priority at the time he or she left, priority passes to the next player in turn order who's still in the game.
Example: Alex casts Mind Control, an Aura that reads, "You control enchanted creature," on Bianca's Assault Griffin. If Alex leaves the game, so does Mind Control, and Assault Griffin reverts to Bianca's control. If, instead, Bianca leaves the game, so does Assault Griffin, and Mind Control is put into Alex's graveyard.
Nice thankyou