I have heard of this happening, but don't know of a definite fix. "Under New Management" is supposed to automatically start (come up in your journal) after you have finished the quest "Darkness Returns" and completed the last of the four "city influence" quests" * that Delvin gives you.
*The four city influence quests: "Imitation Amnesty" (Whiterun), "Summerset Shadows" (Windhelm), "Silver Lining" (Markarth)", and "The Dainty Sload" (Solitude).
Also, you may have done this already, but if not, try the suggestions that may apply to your situation under the "Bugs" heading on the following web pages:
http://www.uesp.net/wiki/Skyrim:Under_New_Management#Bugs
http://elderscrolls.wikia.com/wiki/Under_New_Management#Bugs