Homepage of Philip A. Ernst

Philip A. Ernst, Ph.D.


Chair in Statistics and
Royal Society Wolfson Fellow
Department of Mathematics
Imperial College London
p.ernst at imperial.ac.uk



I am currently Chair (and Full Professor) in Statistics and Royal Society Wolfson Fellow at Imperial College London's Department of Mathematics. I was previously a Professor at Rice University's Department of Statistics (2014-2023).

My research interests include:

Theory and Methodology: Applied probability, exact distribution theory, mathematical finance, mathematical statistics, operations research, optimal stopping, queueing systems, statistical inference for stochastic processes, stochastic control, and time series analysis. To get a taste of some of my research interests, click here

Applications: Actuarial science, agricultural economics, climate science, portfolio management, and quantitative economics. An abstract of some of my interests relating to the Lake Chad Basin is here

I am also deeply invested in teaching and mentoring. See a recent article here about some of my efforts.

I was previously Guest Editor-in-Chief for "In Memoriam: Larry Shepp," a special issue of Stochastic Processes and their Applications, which appeared in August 2022. I currently serve as an Associate Editor for the following five journals: Journal of the American Statistical Association (Theory & Methods), Journal of Stochastic Analysis, Mathematics of Operations Research, Statistics & Probability Letters, and Stochastics.

I gratefully acknowledge support from a British Academy/Wolfson Fellowship (UK), a Royal Society Wolfson Fellowship (UK), the U.S. Army Research Office Young Investigator Program (ARO-YIP-71636-MA), the U.S. Office of Naval Research (N00014-21-1-2672 and N00014-18-1-2192), and the National Science Foundation (DMS-1811936).

Employment at Imperial College London, Department of Mathematics

(2022-present): Chair in Statistics and Royal Society Wolfson Fellow

Employment at Rice University, Department of Statistics

(2022-2023): Professor of Statistics (with tenure)
(2019-2022): Associate Professor of Statistics (with tenure)
(2018-2018): Assistant Professor of Statistics and Dobelman Family Junior Chair of Statistics
(2014-2018): Assistant Professor of Statistics

Education

Ph.D. in Statistics, The Wharton School of the University of Pennsylvania (2014)
M.A. in Statistics, The Wharton School of the University of Pennsylvania (2010)
B.A. cum laude in Statistics, Harvard University (2007)

Research In The News

A 90 Year Old Problem Solved

News


National and International Research Honors

University Research Honors

  • 2022: Appointed Chair in Statistics at Imperial College London
  • 2022: Awarded Noah G. Harding Professorship in Statistics at Rice University (declined)
  • 2022: Awarded promotion to Full Professor at Rice University Press Release
  • 2019: Awarded early tenure at Rice University (Two Years Early) Press Release
  • 2019 Rice University School of Engineering Teaching and Research Excellence Award Press Release
  • (July 2018-Dec 2018) Rice University Dobelman Family Junior Chair of Statistics Press Release

University Teaching Honors

  • 2023 Rice University George R. Brown Award for Superior Teaching Press Release Rice News
  • 2022 Rice University George R. Brown Award for Excellence in Teaching (Rice University's most prestigious teaching award) Rice University Anouncement
  • 2021 Rice University George R. Brown Award for Superior Teaching Press Release Rice News
  • 2017 Rice University Nicolas Salgo Outstanding Teaching Award Press Release Rice News
  • 2016 Rice University Sophia Meyer Farb Prize for Teaching (Phi Beta Kappa Teaching Award) Press Release
  • 2015 Rice University Graduate Student Association Faculty Teaching and Mentoring Award Link
  • 2014 University of Pennsylvania Department of Statistics Donald S. Murray Prize for Excellence in Teaching
  • 2009 University of Pennsylvania Prize for Excellence in Teaching by Graduate Students Link

Research Funding (UK)

Research Funding (USA)

Federal Conference Funding

Local and Private Conference Funding for A symposium on optimal stopping

Selected Works

Legend: (*) denotes a postdoctoral fellow co-author. (**) denotes a Ph.D. student co-author.
(***) denotes a co-author who is a Nobel Prize winner.

  • Ernst, P.A. and Peskir, G. (2022) Quickest real-time detection of a Brownian coordinate drift. The Annals of Applied Probability, 32(4): 2652-2670. PDF Link to Journal
  • Ernst, P.A. and Franceschi, S. (2021) Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary. The Annals of Applied Probability, 31(6): 2991-3016. PDF Link to Journal
  • Ernst, P.A., Peskir, G., and Zhou, Q.* (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
  • Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal
  • Ernst, P.A., Rogers, L.C.G, and Zhou, Q.* (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF Link to Journal Video Talk

Papers Under Review

  1. Ernst, P.A., Mei, H*, and Peskir, G. (2023) Quickest real-time detection of multiple Brownian drifts. PDF
  2. Ernst, P.A., Rogers, L.C.G., and Zhou, Q.* (2022) Yule's "nonsense correlation" solved: Part II PDF

Published Papers and Papers in Press

  1. Bednarz, E., Ernst, P.A., and Osekowski, A. (2023+) On the diameter of the stopped spider process. Mathematics of Operations Research, to appear. PDF Link to Journal
  2. Ernst, P.A. and Mei, H.* (2023) Exact optimal stopping for multidimensional linear switching diffusions. Mathematics of Operations Research, 48(3): 1589-1606. PDF Link to Journal
  3. Ernst, P.A., Huang, D.** and Viens, F.G. (2023) Yule’s “nonsense correlation” for Gaussian random. Stochastic Processes and their Applications, 162: 423-455. PDF Link to Journal
  4. Ernst, P.A. and Peskir, G. (2022) Quickest real-time detection of a Brownian coordinate drift. The Annals of Applied Probability, 32(4): 2652-2670. PDF Link to Journal
  5. Ernst, P.A., Imerman, M.B., Shepp, L.A., and Zhou, Q.* (2022). Fiscal stimulus as an optimal control problem. Stochastic Processes and their Applications, 150: 1091-1108. PDF Link to Journal
  6. Bruss, F.T., Ernst, P.A., and Huang, D.** (2022) The rencontre problem. Stochastic Processes and their Applications, 150: 938-971. PDF Link to Journal
  7. Ernst, P.A., Kagan, A.M., and Rogers, L.C.G. (2022) The least favorable noise. Electronic Communications in Probability, 27: 1-11. Link to Journal (with PDF)
  8. Gerber, S., Markowitz, H.M.***, Ernst, P.A., Miao, Y.**, Javid, B., and Sargen, P. (2022) The Gerber statistic: a robust co-movement measure for portfolio optimization. The Journal of Portfolio Management, 48(3): 87-102. PDF Link to Journal
  9. Ernst, P.A. and Franceschi, S. (2021) Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary. The Annals of Applied Probability, 31(6): 2991-3016. PDF Link to Journal
  10. Ernst, P.A., Franceschi, S., and Huang, D.** (2021) Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. Stochastic Processes and their Applications, 142: 634-670. Link to Journal (with PDF)
  11. Ernst, P.A. and Rogers, L.C.G. (2020) The value of insight. Mathematics of Operations Research, 45(4): 1193-1209. PDF Link to Journal
  12. Ernst, P.A., Peskir, G., and Zhou, Q.* (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
  13. Ernst, P.A., Rogers, L.C.G., and Zhou, Q.* (2020) When is it best to follow the leader? Stochastic Processes and their Applications, 130(6): 3394-3407. PDF Link to Journal
  14. Ernst, P.A. and Shaman, P. (2019) The bias mapping of the Yule-Walker estimator is a contraction. Statistica Sinica, 29(4):1831-1849. Link to Journal
  15. Ernst, P.A. and Viens, F.G. (2019) In memory of Larry Shepp: An editorial. High Frequency, 2(2): 74-75. Link to Journal
  16. Ernst, P.A., Kendall, W.S., Roberts, G.O, and Rosenthal, J.S. (2019) MEXIT: Maximal un-coupling times for stochastic processes. Stochastic Processes and their Applications, 129(2): 355-380. PDF Link to Journal
  17. Ernst, P.A. and Soleymani, F. (2019) A Legendre-based computational method for solving a class of Ito stochastic delay differential equations. Numerical Algorithms, 80(4): 1267-1282. PDF Link to Journal
  18. Ernst, P.A., Kimmel, M., Kurpas, M., and Zhou, Q.* (2018) Heavy-tailed distributions in branching process models of secondary cancerous tumors. Advances in Applied Probability, 50(A): 99-114. PDF Link to Journal
  19. Ernst, P.A., Asmussen, S., and Hasenbein, J.J. (2018) Stability and busy periods in a multiclass queue with state-dependent arrival rates. Queueing Systems, 90: 207-224. PDF Link to Journal
  20. Zhou, Q.*, Ernst, P.A., Morgan, K.L, Rubin, D.B., and Zhang, A. (2018) Sequential rerandomization. Biometrika, 105(3): 745-752. PDF Link to Journal
  21. Ernst, P.A., Rogers, L.C.G, and Zhou, Q.* (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF Link to Journal
  22. Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal Video Talk
  23. Ernst, P.A. (2017) Minimizing Fisher information with absolute moment constraints. Statistics and Probability Letters 129: 167-170. Link to Journal
  24. Ernst, P.A. and Grigorescu, I. (2017) Asymptotics for the time of ruin in the war of attrition. Advances in Applied Probability 49(2): 388-410. PDF Link to Journal
  25. Ernst, P.A., Thompson, J.R., and Miao, Y.** (2017). Portfolio selection: the power of equal weight. In Models and Reality: A Festschrift for James R. Thompson , pp. 225-236. PDF
  26. Ernst, P.A., Thompson, J.R., and Miao, Y.** (2017) Tukey's transformational ladder for portfolio management. Financial Markets and Portfolio Management 31(3): 317-355. PDF Link to Journal
  27. Ernst, P.A. and Shepp, L.A. (2017) On occupation times of the first and third quadrants for planar Brownian motion. Journal of Applied Probability 54(1): 337-342. PDF Link to Journal
  28. Ernst, P.A., Brown, L.D., Shepp, L.A., and Wolpert, R.L. (2017) Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis 155: 180-186. Link to Journal
  29. Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Journal
  30. Ernst, P.A. and Shepp, L.A. (2016) Eliminating a loophole in the national flood insurance program. Law, Probability and Risk 15(4): 251-258. Link to Journal
  31. Ernst, P.A., Pemantle, R., Satopaa, V., and Ungar, L. (2016) Bayesian aggregation of two forecasts in the partial information framework. Statistics and Probability Letters 119: 170-180.
  32. Ernst, P.A. (2016) Exercising control when confronted by the (Brownian) spider. Operations Research Letters 44: 487-490. PDF Link to Journal
  33. Ernst, P.A. and Shepp, L.A. (2016) On the time for Brownian motion to visit every point on a circle. Journal of Statistical Planning and Inference 171: 130-134. PDF Link to Journal
  34. Ernst, P.A. and Shepp, L.A. (2015) Revisiting a theorem of L.A. Shepp on optimal stopping. Communications on Stochastic Analysis 9(3): 419-423. PDF Link to Journal
  35. Ernst, P.A., Foster, D.P., and Shepp, L.A. (2014). On optimal retirement. Journal of Applied Probability 51(2): 333-345. Link to Journal
  36. Ernst, P.A. (2014). Multiple Collection Estimation of Population Size: A Generalization of "Capture-Recapture." Ph.D. thesis.


Current Ph.D. students (sole advisor)

Former Ph.D. Students (sole advisor)

Former Postdoctoral Fellows (sole advisor)

  • Hongwei Mei, Ph.D. (May 2020-August 2022)
    First Job: Assistant Professor of Mathematics and Statistics (tenure-track), Texas Tech University.
  • Richard Chen, Ph.D. (September 2020-August 2021)
    First Job: Research scientist, Amazon.
  • Quan Zhou, Ph.D. (April 2017-August 2019)
    First Job: Assistant Professor of Statistics (tenure-track), Texas A&M University

Public Outreach

Philip Ernst served as the director of instruction for the July 28-August 2, 2019 summer session of the Tapia Center Say STEM Camp at The Tapia Center for Excellence & Equity at Rice University

In the Media

  • October 20, 2016: Making sense of the 'nonsense correlation' in Rice Engineering Magazine (Fall 2016), p.24 Link
  • May 13, 2016: Rice University Phi Beta Kappa address Press Release

Course Reviews

At Rice University, I have taught STAT 310 (undergraduate probability and statistics), STAT 581 (A Ph.D. course in measure-theoretic probability), and STAT 650 (A Ph.D. course in stochastic differential equations). Course reviews may be found below.

As a Ph.D. candidate at Wharton Statistics, I taught STAT 101 (undergraduate business statistics). The course review is below.

STAT 101 Instructor Review