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.
Original language | English |
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Article number | 2257 |
Number of pages | 20 |
Journal | Mathematics |
Volume | 9.2021 |
Issue number | 18 |
DOIs | |
Publication status | Published - 14 Sept 2021 |
Bibliographical note
Publisher Copyright: © 2021 by the authors. Licensee MDPI, Basel, Switzerland.Keywords
- Stochastic Interest Rates
- Optimal Control