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arXiv · 2401.00198

Stability of traveling wave solutions in a credit rating migration Free Boundary Problem

Claude-Michel Brauner·Yuchao Dong·Jin Liang·Luca Lorenzi
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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.

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Claude-Michel Brauner, Yuchao Dong, Jin Liang, Luca Lorenzi. 2023-12-30. Stability of traveling wave solutions in a credit rating migration Free Boundary Problem. https://arxiv.org/abs/2401.00198

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