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. / Eisenberg, Julia; Kremsner, Stefan; Steinicke, Alexander.
In: Mathematics, Vol. 9.2021, No. 18, 2257, 14.09.2021.

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Eisenberg J, Kremsner S, Steinicke A. Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate. Mathematics. 2021 Sept 14;9.2021(18):2257. doi: 10.3390/math9182257

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@article{d2189ccdef9e48a8bee0c67a49c3a9df,
title = "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate",
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.",
keywords = "Stochastic Interest Rates, Optimal Control",
author = "Julia Eisenberg and Stefan Kremsner and Alexander Steinicke",
note = "Publisher Copyright: {\textcopyright} 2021 by the authors. Licensee MDPI, Basel, Switzerland.",
year = "2021",
month = sep,
day = "14",
doi = "10.3390/math9182257",
language = "English",
volume = "9.2021",
journal = "Mathematics",
issn = "2227-7390",
publisher = "Multidisciplinary Digital Publishing Institute (MDPI)",
number = "18",

}

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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 -