NDLI: Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate

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Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate

Content Provider	MDPI
Author	Eisenberg, Julia Kremsner, Stefan Steinicke, Alexander
Copyright Year	2021
Description	We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve $α(t)$ can be found to determine the optimal strategy at time t. In a second setting, we introduce a strategy-independent stopping time. The properties and behavior of these optimal control problems in both settings are analyzed in an analytical HJB-driven approach, and we also use backward stochastic differential equations.
Starting Page	2257
e-ISSN	22277390
DOI	10.3390/math9182257
Journal	Mathematics
Issue Number	18
Volume Number	9
Language	English
Publisher	MDPI
Publisher Date	2021-09-14
Access Restriction	Open
Subject Keyword	Mathematics Optimal Control Dividends Stochastic Interest Rate Hamilton–jacobi–bellman Equation Hjb Finite Time Horizon Backward Stochastic Differential Equation Bsde
Content Type	Text
Resource Type	Article

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