Ornstein–Uhlenbeck process in a human body weight fluctuation

Yatabe, Zenji; Asubar, Joel T.

doi:10.1016/j.physa.2021.126286

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“…Taking into account the protracted negative interest rate environment (the ECB set the interest to 0 in March 2016), it seems reasonable to describe interest rates by an Ornstein-Uhlenbeck process. This class of processes is also widely used beyond the classical problems in finance and insurance, for instance, in quantitative finance for pairs trading strategies [12], physics [13], and biology [14].…”

Section: Introductionmentioning

confidence: 99%

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

2021

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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.

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Section: Introductionmentioning

confidence: 99%