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.
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 2257 |
| Seitenumfang | 20 |
| Fachzeitschrift | Mathematics |
| Jahrgang | 9.2021 |
| Ausgabenummer | 18 |
| DOIs | |
| Publikationsstatus | Veröffentlicht - 14 Sept. 2021 |
Bibliographische Notiz
Funding Information:Funding: The research of Julia Eisenberg was funded by the Austrian Science Fund (FWF), Project number V 603-N35. Stefan Kremsner was supported by the Austrian Science Fund (FWF): Project F5508-N26, which is part of the Special Research Program “Quasi-Monte Carlo Methods: Theory and Applications”.
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