Asymptotic traveling wave solution for a credit rating migration problem
DOI10.1016/J.JDE.2016.03.032zbMATH Open1338.35096OpenAlexW2337209752WikidataQ116009480 ScholiaQ116009480MaRDI QIDQ281649FDOQ281649
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
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existenceuniquenesscredit rating migration risk modelPDE with discontinuous leading order coefficient
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)
Cites Work
- On Cox processes and credit risky securities
- Blow-up theories for semilinear parabolic equations
- 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
- Title not available (Why is that?)
- On Asymptotic Self-Similar Behaviour for a Quasilinear Heat Equation: Single Point Blow-Up
- Title not available (Why is that?)
- 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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