Asymptotic traveling wave solution for a credit rating migration problem

DOI10.1016/j.jde.2016.03.032zbMath1338.35096OpenAlexW2337209752WikidataQ116009480 ScholiaQ116009480MaRDI QIDQ281649

Yuan Wu, Jin Liang, Bei Hu

Publication date: 11 May 2016

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2016.03.032

zbMATH Keywords

existenceuniquenesscredit rating migration risk modelPDE with discontinuous leading order coefficient

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Traveling wave solutions (35C07)

Related Items (11)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors ⋮ A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model ⋮ Free boundaries of credit rating migration in switching macro regions ⋮ A bond pricing model with credit migration risk: different upgrade and downgrade thresholds ⋮ Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks ⋮ The valuation of multi-counterparties CDS with credit rating migration ⋮ A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior ⋮ A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds ⋮ A new model and its numerical method to identify multi credit migration boundaries

Cites Work

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• On Cox processes and credit risky securities
• Blow-up theories for semilinear parabolic equations
• Traveling waves to a Burgers-Korteweg-de Vries-type equation with higher-order nonlinearities
• Aleksandrov maximum principle and Bony maximum principle for parabolic equations
• Mathematics of traveling waves in chemotaxis
• A free boundary problem for corporate bond with credit rating migration
• On Asymptotic Self-Similar Behaviour for a Quasilinear Heat Equation: Single Point Blow-Up

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