Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors

DOI10.1016/j.jde.2023.06.050zbMath1527.35431arXiv2301.10898OpenAlexW4385540505MaRDI QIDQ6049920

Claude-Michel Brauner, Jin Liang, Yuchao Dong

Publication date: 18 September 2023

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

Full work available at URL: https://arxiv.org/abs/2301.10898

zbMATH Keywords

asymptotic behaviorfree boundary problemtraveling wavecredit rating migration risk modelPDE with discontinuous leading order coefficient

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Asymptotic behavior of solutions to PDEs (35B40) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Free boundary problems for PDEs (35R35) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Traveling wave solutions (35C07) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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