Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
Publikationen: Beitrag in Fachzeitschrift › Artikel › Forschung › (peer-reviewed)
Autoren
Organisationseinheiten
Externe Organisationseinheiten
- Technische Universität Wien
- Universität Graz
Abstract
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.
Details
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 2257 |
| Seitenumfang | 20 |
| Fachzeitschrift | Mathematics |
| Jahrgang | 9.2021 |
| Ausgabenummer | 18 |
| DOIs | |
| Status | Veröffentlicht - 14 Sept. 2021 |
