Imperial College London

Professor Philip A. Ernst

Faculty of Natural SciencesDepartment of Mathematics

Chair in Statistics and Royal Society Wolfson Fellow
 
 
 
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Contact

 

p.ernst Website

 
 
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Location

 

544Huxley BuildingSouth Kensington Campus

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Summary

 

Summary

For details about my research, please see my personal webpage: http://www.stat.rice.edu/~pe6/

I presently have two open Ph.D. positions (for both UK nationals and non-UK nationals) at Imperial College London funded by a Royal Society Wolfson Fellowship. The topic of the project is "New frontiers in statistical inference for stochastic processes." If you are interested, please contact me directly. 

Overview

I am Chair (and Full Professor) in Statistics and Royal Society Wolfson Fellow at Imperial College London's Department of Mathematics

Research Interests:

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.

Editorial Work

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 AnalysisMathematics of Operations ResearchStatistics & Probability Letters, and Stochastics.

Research Honors



Oct. 2022- Sept. 2027: Royal Society Wolfson Fellowship

2022-2025: Elected to 2022 COPSS Leadership Academy

2022: Appointed "Chaire Internationale" (visiting international research chair) at Department of Mathematics, Universit√© Libre de Bruxelles 

2020: INFORMS Donald P. Gaver, Jr. Early Career Award for Excellence in Operations Research (inaugural winner) 

2018: Institute of Mathematical Statistics (IMS) Tweedie New Researcher Award

2018-2021: U.S. Army Research Office (ARO) Young Investigator Award (ARO-YIP-71636-MA). Next-generation quickest detection.

Publications

Journals

Ernst PA, Peskir G, 2022, Quickest real-time detection of a Brownian coordinate drift, The Annals of Applied Probability, Vol:32, ISSN:1050-5164

Ernst PA, Imerman MB, Shepp L, et al., 2022, Fiscal stimulus as an optimal control problem, Stochastic Processes and Their Applications, Vol:150, ISSN:0304-4149, Pages:1091-1108

Thomas Bruss F, Ernst PA, Huang D, 2022, The rencontre problem, Stochastic Processes and Their Applications, Vol:150, ISSN:0304-4149, Pages:938-971

Ernst PA, Kagan AM, Rogers LCG, 2022, The least favorable noise, Electronic Communications in Probability, Vol:27, ISSN:1083-589X, Pages:1-11

Gerber S, Markowitz HM, Ernst PA, et al., 2022, The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization, The Journal of Portfolio Management, Vol:48, ISSN:0095-4918, Pages:87-102

More Publications