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Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors

hal.structure.identifierSchool of Mathematical Sciences, Tongji University
dc.contributor.authorDONG, Yuchao
hal.structure.identifierSchool of Mathematical Sciences, Tongji University
dc.contributor.authorLIANG, Jin
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorBRAUNER, Claude-Michel
dc.date.accessioned2024-04-04T02:33:35Z
dc.date.available2024-04-04T02:33:35Z
dc.date.issued2023-11-05
dc.identifier.issn0022-0396
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/190494
dc.description.abstractEnIn this work, a pricing model for a defaultable corporate bond with credit rating migration risk is established. The model turns out to be a free boundary problem with two free boundaries. The latter are the level sets of the solution but of different kinds. One is from the discontinuous second order term, the other from the obstacle. Existence, uniqueness, and regularity of the solution are obtained. We also prove that two free boundaries are $C^\infty$. The asymptotic behavior of the solution is also considered: we show that it converges to a traveling wave solution when time goes to infinity. Moreover, numerical results are presented.
dc.language.isoen
dc.publisherElsevier
dc.subject.enTraveling wave Free boundary problem PDE with discontinuous leading order coefficient Asymptotic behavior Credit rating migration risk model
dc.subject.enTraveling wave
dc.subject.enFree boundary problem
dc.subject.enPDE with discontinuous leading order coefficient
dc.subject.enAsymptotic behavior
dc.subject.enCredit rating migration risk model
dc.title.enDouble free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
dc.typeArticle de revue
dc.identifier.doi10.1016/j.jde.2023.06.050
dc.subject.halMathématiques [math]/Equations aux dérivées partielles [math.AP]
bordeaux.journalJournal of Differential Equations
bordeaux.page505-535
bordeaux.volume372
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-03957155
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-03957155v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal%20of%20Differential%20Equations&rft.date=2023-11-05&rft.volume=372&rft.spage=505-535&rft.epage=505-535&rft.eissn=0022-0396&rft.issn=0022-0396&rft.au=DONG,%20Yuchao&LIANG,%20Jin&BRAUNER,%20Claude-Michel&rft.genre=article


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