Previous work showed how moving particles that rest along their trajectory lead to time-nonlocal advection–dispersion equations. If the waiting times have infinite mean, the model equation contains a fractional time derivative of order between 0 and 1. In this article, we develop a new...

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

Remaining useful life (RUL) estimation is regarded as one of the most central components in prognostics and health management (PHM). Accurate RUL estimation can enable failure prevention in a more controllable manner in that effective maintenance can be executed in appropriate time to correct...

Fundamental matrix plays an important role in a finite-state Markov chain to find many characteristic values such as stationary distribution, expected amount of time spent in the transient state, absorption probabilities. In this paper, the fundamental matrix of the finite-state...

This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behaviour of the forward default intensity and hence the survivorship functions then follows from inequalities that are...