Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors (Q6049920): Difference between revisions

Latest revision as of 22:00, 2 August 2024

scientific article; zbMATH DE number 7739120

Language	Label	Description	Also known as
English	Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors	scientific article; zbMATH DE number 7739120

Statements

instance of

scholarly article

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title

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

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author

Yuchao Dong

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Jin Liang

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Claude-Michel Brauner

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published in

Journal of Differential Equations

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publication date

18 September 2023

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full work available at URL

https://arxiv.org/abs/2301.10898

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zbMATH Keywords

traveling wave

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free boundary problem

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PDE with discontinuous leading order coefficient

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asymptotic behavior

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credit rating migration risk model

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MaRDI profile type

MaRDI publication profile

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cites work

Instabilities in a combustion model with two free interfaces

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A general approach to stability in free boundary problems

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Stability analysis and Hopf bifurcation at high Lewis number in a combustion model with free interface

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Continuous differentiability of the free boundary for weak solutions of the Stefan problem

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A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds

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Opaque bank assets and optimal equity capital

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Quadratic Convergence for Valuing American Options Using a Penalty Method

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Q3678248

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Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks

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Q4272982

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A free boundary problem for corporate bond with credit rating migration

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Q5528867

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Q5548525

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Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem

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Q3982723

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Asymptotic traveling wave solution for a credit rating migration problem

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Classical Verigin problem as a limit case of Verigin problem with surface tension at free boundary

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Free boundaries of credit rating migration in switching macro regions

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A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior

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Free boundary and American options in a jump-diffusion model

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Identifiers

zbMATH Open document ID

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10.1016/j.jde.2023.06.050

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6049920

@@ Property / cites work @@
+Instabilities in a combustion model with two free interfaces
+Normal rank
@@ Property / cites work @@
+A general approach to stability in free boundary problems
+Normal rank
@@ Property / cites work @@
+Stability analysis and Hopf bifurcation at high Lewis number in a combustion model with free interface
+Normal rank
@@ Property / cites work @@
+Continuous differentiability of the free boundary for weak solutions of the Stefan problem
+Normal rank
@@ Property / cites work @@
+A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
+Normal rank
@@ Property / cites work @@
+Opaque bank assets and optimal equity capital
@@ Property / cites work: Opaque bank assets and optimal equity capital / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+Q3678248
@@ Property / cites work: Q3678248 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks
+Normal rank
@@ Property / cites work @@
+Q4272982
@@ Property / cites work: Q4272982 / rank @@
+Normal rank
@@ Property / cites work @@
+A free boundary problem for corporate bond with credit rating migration
+Normal rank
@@ Property / cites work @@
+Q5528867
@@ Property / cites work: Q5528867 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5548525
@@ Property / cites work: Q5548525 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
+Normal rank
@@ Property / cites work @@
+Q3982723
@@ Property / cites work: Q3982723 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic traveling wave solution for a credit rating migration problem
+Normal rank
@@ Property / cites work @@
+Classical Verigin problem as a limit case of Verigin problem with surface tension at free boundary
+Normal rank
@@ Property / cites work @@
+Free boundaries of credit rating migration in switching macro regions
+Normal rank
@@ Property / cites work @@
+A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
+Normal rank
@@ Property / cites work @@
+Free boundary and American options in a jump-diffusion model
+Normal rank