TY - JOUR

T1 - Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate

AU - Eisenberg, Julia

AU - Kremsner, Stefan

AU - Steinicke, Alexander

N1 - Publisher Copyright: © 2021 by the authors. Licensee MDPI, Basel, Switzerland.

PY - 2021/9/14

Y1 - 2021/9/14

N2 - 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.

AB - 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.

KW - Stochastic Interest Rates

KW - Optimal Control

UR - http://www.scopus.com/inward/record.url?scp=85114999829&partnerID=8YFLogxK

U2 - 10.3390/math9182257

DO - 10.3390/math9182257

M3 - Article

VL - 9.2021

JO - Mathematics

JF - Mathematics

SN - 2227-7390

IS - 18

M1 - 2257

ER -