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math.OC2021
Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
Julia Eisenberg, Stefan Kremsner, Alexander Steinicke
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a determin…
math.OC2016★ 2 cited
Deterministic Income with Deterministic and Stochastic Interest Rates
Julia Eisenberg
We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discou…
math.OC2016
Unrestricted Consumption under a Deterministic Wealth and an Ornstein-Uhlenbeck Process as a Discount Rate
Julia Eisenberg
We consider an individual or household endowed with an initial capital and an income, modeled as a linear function of time. Assuming that the discount rate evolves as an Ornstein-U…