| Autor: |
Brauner, Claude-Michel, Dong, Yuchao, Liang, Jin, Lorenzi, Luca |
| Rok vydání: |
2023 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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