A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model
DOI10.1002/MMA.8974zbMATH Open1530.35320OpenAlexW4312200831MaRDI QIDQ6140733FDOQ6140733
Authors:
Publication date: 2 January 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.8974
hysteresisasymptotic behaviortraveling wavebuffer zonemonotonic iterationasymmetric migration threshold
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Credit risk (91G40) Asymptotic behavior of solutions to PDEs (35B40) Traveling wave solutions (35C07)
Cites Work
- Shock profiles for non-equilibrium radiating gases
- A free boundary problem for corporate bond with credit rating migration
- Asymptotic traveling wave solution for a credit rating migration problem
- 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
- A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
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