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Scholarly Interest Report
Philip Andrew Ernst
Assistant Professor
Assistant Professor of Statistics
  • A.B. cum laude Statistics (2007) Harvard University
  • Ph.D. Statistics (2014) The Wharton School of the University of Pennsylvania
  • A.M. Statistics (2010) The Wharton School of the University of Pennsylvania
Primary Department
   Department of Statistics
 Phi Beta Kappa Award
 GSA Faculty Award
Research Areas
 Applied Probability, Stochastic Optimization, Optimal Stopping, Quantitative Finance, Asymptotic Statistics, Time Series Analysis, Queueing Systems
Selected Publications
 Refereed articles

Ernst, P. "Minimizing Fisher Information with Absolute Moment Constraints.." Statistics and Probability LettersSubmitted


Ernst, P. "On The Arbitrage Price of European Call Options." Stochastic Models, 33(1) (2017)


Ernst, P. "The Volatility of Correlation of Correlated Wiener Processes." In Revision


Ernst, P. "Exercising Control When Confronted by the (Brownian) Spider." Operations Research Letters, 44 (2016) : 487-490.


Ernst, P. and Grigorescu, I. "Asymptotics for the Time of Ruin in the War of Attrition." Advances in Applied Probability, 49(2) (2017)


Ernst, P. and Shaman, P. "The bias mapping of Yule-Walker is a contraction." Journal of EconometricsSubmitted


Ernst, P. and Shepp, L. "On Occupation Times of the First and Third Quadrants for Planar Brownian Motion." Journal of Applied Probability, 54(1) (2017)


Ernst, P. and Shepp, L. and Wyner, A. "Yule's "Nonsense Correlation" Solved!." The Annals of Statistics, accepted (2017) In Press


Ernst, P., Asmussen, S. and Hasenbein, J. "Stability and Tail Asymptotics in a Multiclass Queue with State Dependent Arrival Rates." Queueing SystemsSubmitted


Ernst, P., Brown, L. and Shepp, L. "Multiple Collection of Population Size: A Generalization of Capture-Recpature." The Annals of StatisticsSubmitted


Ernst, P., Brown, L.D., Shepp, L., and Wolpert, B. "Stationary Gaussian Markov Processes As Limits of Stationary Autoregressive Time Series." Journal of Multivariate Analysis, 155 (2017) : 180-186.


Ernst, P., Kendall, W.S., Roberts, G.O. and Rosenthal, J.S. "MEXIT: Maximal Uncoupling Times for Markov Processes." Submitted


Ernst, P., Pemantle, R., Satopaa, V., and Ungar, L. "Bayesian Aggregation of Two Forecasts in the Partial Information Framework." Statistics and Probability Letters, 119 (2016) : 170-180.


Ernst, P., Rogers, L.C.G., and Zhou, Q. "The Value of Foresight." In Revision


Ernst, P., Shepp, L. "Eliminating a Loophole in the National Flood Insurance Program." Law, Probability and Risk, 15(4) (2016) : 251-258.


Ernst, P., Thompson, J., and Miao, Y. "Tukey's Transformational Ladder for Portfolio Management." Financial Markets and Portfolio ManagementIn Revision


Ernst, P. and Shepp, L. "On the Time For Brownian Motion to Visit Every Point on a Cirlce." Journal of Statistical Planning and Inference, 171 (2016) : 130-134.


Ernst, P., Foster, D., and Shepp, L. "On Optimal Retirement." Journal of Applied Probability, 51(2) (2014) : 333-345.


Ernst. P. and Shepp, L. "Revisiting a Theorem of L.A. Shepp on Optimal Stopping." Communications on Stochastic Analysis, 9(3) (2015) : 419-423.

 Invited Talks

"On the Volatility of the Correlation of Two Independent Wiener Processes." University of Manchester, Manchester, UK. (March 2016)


"On the Volatility of the Correlation of Two Independent Wiener Processes." Stanford University, Department of Statistics, Palo Alto, CA. (April 2016)


"Tukey's Transformational Ladder for Portfolio Management." Eubank Conference, Rice University, Houston, TX. (April 2016)


"Yule's "Nonsense Correlation" Solved!." Michigan State University, Department of Probability and Statistics, East Lansing, MI. (April 2017)


"Yule's "Nonsense Correlation" Solved!." Rice University, Department of Statistics, Houston, TX. (February 2017)


"Yule's "Nonsense Correlation" Solved!." UNC Department of Statistics and Operations Research, Chapel Hill, NC. (April 2017)


"Yule's "Nonsense Correlation" Solved!." University of Wisconsin, Department of Statistics, Madison, WI. (October 2016)


"Yule's "Nonsense Correlation" Solved!." University of Washington, Department of Statistics, Seattle, WA. (May 2017)


"A Further Generalization of Capture-recapture." Texas A&M Department of Statistics, College Station, TX. (October 2016)


"The Class of Stationary Gaussian Markov Processes That Evolve as Function of Their Local Derivatives." JSM, Seattle, WA. (August 2015)


"The Class of Stationary Gaussian Markov Processes That Evolve as Function of Their Local Derivatives." University of Texas at Austin, Austin, TX. (April 2015)


"A Generalization of Capture-Recapture." Pennsylvania State University, Department of Statistics, State College, PA. (February 2014)


"A Generalization of Capture-Recapture." Joint Statistical Meetings, Boston, MA. (August 2014)


"A Generalization of Capture-Recapture." United States Naval Academy, Department of Mathematics, Annapolis, MD. (Jan 2014)


"A Generalization of Capture-Recapture." Rice University, Department of Statistics, Houston, TX. (Feb 2014)


"An Ito Process for Early Retirement." Carnegie Mellon University, Department of Mathematics, Pittsburgh, PA. (February 2014)


"An Ito Process for Early Retirement." Bucknell University, Department of Mathematics, Lewisburg, PA. (January 2014)

 Keynote Speaker

"A Further Generalization of Capture-recapture." COTS, Austin, TX. (May 2015)

Awards, Prizes, & Fellowships
 Sophia Meyer Farb Prize for Teaching, Phi Beta Kappa of Rice University (May 2016)

 Rice University GSA Faculty Teaching and Mentoring Award, Rice University (May 2015)

 Magna Cum Laude, Senior Honors Thesis, Harvard Department of Statistics (May 2007)

 Edward Eager Memorial Prize, Harvard College prize for best undergraduate creative writing (June 2007)

 Intel Science Talent Search Semifinalist, (January 2002)

 Penn Prize for Excellence in Teaching by Graduate Students, (April 2009)

 Donald S. Murray Award for Excellence in Teaching, (December 2013)

Positions Held
 Mentor for William Lowell Putnam Mathematics Competition for Penn undergraduate students. (2013 - 2013)

 Ph.D. Student Seminar Coordinator, Department of Statistics. (2013 - 2013)

 Taught "How to Teach an E ffective Summer Course" for Statistics Ph.D. students. (2013 - 2013)