Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
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Authors
Organisational units
External Organisational units
- Institute of Materials Science and Technology
- Institut für Mathematik und Wissenschaftliches Rechnen, Karl-Franzens-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
| Original language | English |
|---|---|
| Article number | 2257 |
| Number of pages | 20 |
| Journal | Mathematics |
| Volume | 9.2021 |
| Issue number | 18 |
| DOIs | |
| Publication status | Published - 14 Sept 2021 |
