Asymptotic traveling wave solution for a credit rating migration problem

DOI10.1016/J.JDE.2016.03.032MaRDI QIDQ281649zbMATH OpenOpenAlexWikidataFDO

Authors Jin Liang, Yuan Wu, 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

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

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Cites work

• scientific article; zbMATH DE number 473351 (Why is no real title available?)
• scientific article; zbMATH DE number 6154127 (Why is no real title available?)
• A free boundary problem for corporate bond with credit rating migration
• Aleksandrov maximum principle and Bony maximum principle for parabolic equations
• Blow-up theories for semilinear parabolic equations
• Mathematics of traveling waves in chemotaxis
• On Asymptotic Self-Similar Behaviour for a Quasilinear Heat Equation: Single Point Blow-Up
• On Cox processes and credit risky securities
• Traveling waves to a Burgers-Korteweg-de Vries-type equation with higher-order nonlinearities

Cited in

(14)

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

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