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 into account. First deterministic time is considered, where an explicit separating curve α(t) can be found to determine the optimal strategy at t. In second setting, we introduce strategy-independent stopping time. The properties and behavior of these control problems in both settings are analyzed analytical HJB-driven approach, use backward differential equations.