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

DOI10.3934/dcdsb.2019207zbMath1428.35688MaRDI QIDQ2284922

Bei Hu, Jin Liang, Yuan Wu

Publication date: 15 January 2020

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2019207

zbMATH Keywords

asymptotic solution; free boundary; credit risk; structure model; credit rating migration; corporate bond

Mathematics Subject Classification ID

35R35: Free boundary problems for PDEs

35K10: Second-order parabolic equations

91G40: Credit risk

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences