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

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

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 <inline-formula><math xmlns="http://www.w3.or...

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Bibliographic Details
Main Authors: Julia Eisenberg, Stefan Kremsner, Alexander Steinicke
Format: Article
Language:English
Published: MDPI AG 2021-09-01
Series:Mathematics
Subjects:
optimal control
dividends
stochastic interest rate
Hamilton–Jacobi–Bellman equation
HJB
finite time horizon
Online Access:https://www.mdpi.com/2227-7390/9/18/2257

Internet

https://www.mdpi.com/2227-7390/9/18/2257

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