Summary
For details about my research, please see my personal webpage: https://www.ma.imperial.ac.uk/~pernst/
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 Analysis, Mathematics of Operations Research, Statistics & Probability Letters, and Stochastics.
Research Honors
2023-2026: British Academy/Wolfson Fellowship
2023 Lebesgue Chair at Henri Lebesgue Center (Roscoff, France)
2022- 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, Université 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, Huang D, Viens FG, 2023, Yule’s “nonsense correlation” for Gaussian random walks, Stochastic Processes and Their Applications, Vol:162, ISSN:0304-4149, Pages:423-455
Bednarz E, Ernst PA, Osękowski A, 2023, On the diameter of the stopped spider process, Mathematics of Operations Research, ISSN:0364-765X
Ernst P, Mei H, 2023, Exact optimal stopping for multidimensional linear switching diffusions, Mathematics of Operations Research, ISSN:0364-765X
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