Stability of traveling wave solutions in a credit rating migration free boundary problem

DOI10.1137/23M1628061MaRDI QIDQ6664428zbMATH OpenFDO

Authors C.-M. Brauner, Yuchao Dong, Jin Liang, Luca Lorenzi

Publication date 16 January 2025

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1628061

zbMATH Keywords

credit rating migrationfree boundary problemsfully nonlinear parabolic problemsstabilitytraveling waves

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Stability in context of PDEs (35B35) Traveling wave solutions (35C07) Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A free boundary problem for corporate bond with credit rating migration
• A general approach to stability in free boundary problems
• Asymptotic traveling wave solution for a credit rating migration problem
• Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
• Instabilities in a combustion model with two free interfaces
• Instability of free interfaces in premixed flame propagation
• Local existence in free interface problems with underlying second-order Stefan condition
• On the stability of waves of nonlinear parabolic systems
• Semigroups of bounded operators and second-order elliptic and parabolic partial differential equations
• Stability analysis and Hopf bifurcation at high Lewis number in a combustion model with free interface

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