Imperial College London

Professor Philip A. Ernst

Faculty of Natural SciencesDepartment of Mathematics

Chair in Statistics and Royal Society Wolfson Fellow



p.ernst Website




544Huxley BuildingSouth Kensington Campus





For details about my research, please see my personal webpage:

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. 


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.



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