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- W3200503791 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." @default.
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- W3200503791 date "2021-09-14" @default.
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- W3200503791 title "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate" @default.
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- W3200503791 doi "https://doi.org/10.3390/math9182257" @default.
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