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.
I am Chair (and Full Professor) in Statistics and Royal Society Wolfson Fellow at Imperial College London's Department of Mathematics.
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.
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, Université Libre de Bruxelles
2020: INFORMS Donald P. Gaver, Jr. Early Career Award for Excellence in Operations Research (inaugural winner)
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
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
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