In this paper, we study the stability of traveling wave solutions arising from a credit rating migration problem with a free boundary, After some transformations, we turn the free boundary problem into a fully nonlinear parabolic problem on a fixed domain and establish a rigorous stability analysis of the equilibrium in an exponentially weighted function space. It implies the convergence of the discounted value of bonds that stands as an attenuated traveling wave solution.
STABILITY OF TRAVELING WAVE SOLUTIONS IN A CREDIT RATING MIGRATION FREE BOUNDARY PROBLEM / Brauner, C. M.; Dong, Y.; Liang, J.; Lorenzi, L.. - In: SIAM JOURNAL ON MATHEMATICAL ANALYSIS. - ISSN 0036-1410. - 57:1(2025), pp. 563-600. [10.1137/23M1628061]
STABILITY OF TRAVELING WAVE SOLUTIONS IN A CREDIT RATING MIGRATION FREE BOUNDARY PROBLEM
Lorenzi L.
2025-01-01
Abstract
In this paper, we study the stability of traveling wave solutions arising from a credit rating migration problem with a free boundary, After some transformations, we turn the free boundary problem into a fully nonlinear parabolic problem on a fixed domain and establish a rigorous stability analysis of the equilibrium in an exponentially weighted function space. It implies the convergence of the discounted value of bonds that stands as an attenuated traveling wave solution.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
