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arXiv · 2108.00234

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

Julia Eisenberg·Stefan Kremsner·Alexander Steinicke
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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 $\alpha(t)$ 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 as well as using backward stochastic differential equations.

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Julia Eisenberg, Stefan Kremsner, Alexander Steinicke. 2021-07-31. Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate. https://arxiv.org/abs/2108.00234

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