I am currently an Associate Professor of Statistics (with tenure) at Rice University's Department of Statistics.

My research interests include applied probability, exact distribution theory, mathematical finance, mathematical statistics, operations research, optimal stopping, queueing systems, statistical inference for stochastic processes, and stochastic control.

I am currently a Guest Editor for "In Memoriam: Larry Shepp," a special issue of Stochastic Processes and their Applications. I serve as an Associate Editor of Stochastics, an Associate Editor of Statistics & Probability Letters, and Editor of Journal of Stochastic Analysis.

To get a taste of some of my current research interests, please see this video of a talk given at the Institute for Mathematics and its Applications. A list of all invited talks may be found here.

I gratefully acknowledge support from the U.S. Army Research Office Young Investigator Program (ARO-YIP-71636-MA), the U.S. Office of Naval Research (N00014-18-1-2192), and the National Science Foundation (DMS-1811936).

Employment

(Jan 2019-present) Associate Professor of Statistics (with tenure)
(July 2018-Dec 2018) Assistant Professor of Statistics and Dobelman Family Junior Chair of Statistics
(July 2014-June 2018) Assistant Professor of Statistics

Education

Ph.D. in Statistics, The Wharton School of the University of Pennsylvania (2014)
M.A. in Statistics, The Wharton School of the University of Pennsylvania (2010)
B.A. cum laude in Statistics, Harvard University (2007)

Research In The News

A 90 Year Old Problem Solved

News

• January 6, 2021: Ernst joins editorial board of Mathematics of Operations Research
• September 21, 2020: Ernst named inaugural winner of INFORMS Donald P. Gaver, Jr. Early Career Award for Excellence in Operations Research IMS Press Release IMS Bulletin (page 2)
• October 14, 2019: Ernst gives talk at ONR Review at Duke University Talk Slides
• March 25, 2019: Ernst named recipient of Rice University School of Engineering Teaching and Research Excellence Award
• January 1, 2019: Ernst promoted to Associate Professor of Statistics (with tenure)
• July 27, 2018: Ernst joins editorial board of Stochastics
• June 11, 2018: Ernst named plenary speaker at Michigan State Symposium on Mathematical Statistics and Applications.
• May 21, 2018: Ernst awarded Young Investigator Award from the Mathematical Sciences Division of the Army Research Office (ARO)
• April 1, 2018: Ernst appears on front cover of April/May 2018 IMS Bulletin
• February 19, 2018: Ernst invited to present the Tweedie New Researcher Invited Lecture at the 2018 New Researchers Conference in Burnaby, BC, Canada
• February 16, 2018: Ernst named recipient of 2018 IMS Tweedie New Researcher Award
• October 31, 2017: Ernst named keynote speaker at SRCOS Summer Research Conference

National and International Research Awards

• 2020 INFORMS Donald P. Gaver, Jr. Early Career Award for Excellence in Operations Research (inaugural winner) IMS Announcement IMS Bulletin (page 2)
• 2018 Institute of Mathematical Statistics Tweedie New Researcher Award IMS Bulletin Rice University Announcement
• (PI) 2018-2021 U.S. Army Research Office (ARO) Young Investigator Award (ARO-YIP-71636-MA). Next-generation quickest detection.
• (PI) 2018-2021. National Science Foundation (NSF) DMS-1811936. Exact and asymptotic distribution theory for general Gaussian processes.
• (PI) 2018-2021. Office of Naval Research (ONR) N00014-18-1-2192. Statistical inference for stochastic processes with correlations.
• (Co-PI) 2017-2019. Clarkson Aerospace Corporation, RICE 17-D-0018-S13. Cyber-spectrum collaborative research environment.

Rice University Research Awards

• 2019 Rice University School of Engineering Teaching and Research Excellence Award Press Release
• (July 2018-Dec 2018) Dobelman Family Junior Chair of Statistics Press Release

Teaching Awards

• 2017 Rice University Nicolas Salgo Outstanding Teaching Award Press Release Rice News
• 2016 Rice University Sophia Meyer Farb Prize for Teaching (Phi Beta Kappa Teaching Award) Press Release
• 2015 Rice University Graduate Student Association Faculty Teaching and Mentoring Award Link
• 2014 University of Pennsylvania Department of Statistics Donald S. Murray Prize for Excellence in Teaching
• 2009 University of Pennsylvania Prize for Excellence in Teaching by Graduate Students Link

Conference Grant Support for A symposium on optimal stopping (June 25-29, 2018)

• (PI) Air Force Office of Scientific Research (AFOSR) FA9550-18-1-0365.
• (PI) Army Research Office (ARO) W911NF1810230.
• (PI) Intech Investment Management LLC.
• (PI) National Science Foundation (NSF) DMS-1822487
• (PI) Rice University Center for Computational Finance and Economic Systems
• (PI) Rice University Creative Ventures

Selected Works

• Ernst, P.A., Peskir, G., and Zhou, Q. (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
• Ernst, P.A. and Franceschi, S. (2020) Asymptotic behavior of the occupancy density for the obliquely reflected Brownian motion in a half-plane and Martin boundary. Under minor revision. PDF
• Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2020) When is it best to follow the leader? Stochastic Processes and their Applications 130(6): 3394-3407. PDF Link to Journal
• Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal
• Ernst, P.A., Rogers, L.C.G, and Zhou, Q. (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF Link to Journal Video Talk

Papers Under Review

1. Ernst, P.A. and Franceschi, S. (2021) Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. PDF
2. Ernst, P.A. and Peskir, G. (2020) Quickest real-time detection of a Brownian coordinate drift. PDF
3. Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2019) The distribution of Yule's "nonsense correlation." PDF

Papers Under Invited Revision

1. Ernst, P.A. and Franceschi, S. (2020) Asymptotic behavior of the occupancy density for the obliquely reflected Brownian motion in a half-plane and Martin boundary. PDF
2. Ernst, P.A., Imerman, M.B., Shepp, L.A., and Zhou, Q. (2019) A martingale approach to the question of fiscal stimulus. PDF
3. Ernst, P.A., Brown, L.D., and Shepp, L.A. (2018) Multiple collection estimation of population size: A generalization of "capture-recapture." PDF

Published Papers and Papers in Press

1. Bruss, F.T., Ernst, P.A., and Huang, D. (2021+) The rencontre problem. Stochastic Processes and their Applications, to appear. PDF Link to Journal
2. Ernst, P.A. and Rogers, L.C.G. (2020) The value of insight. Mathematics of Operations Research, 45(4): 1193-1209. PDF Link to Journal
3. Ernst, P.A., Peskir, G., and Zhou, Q. (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
4. Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2020) When is it best to follow the leader? Stochastic Processes and their Applications, 130(6): 3394-3407. PDF Link to Journal
5. Ernst, P.A. and Shaman, P. (2019) The bias mapping of the Yule-Walker estimator is a contraction. Statistica Sinica, 29(4):1831-1849. Link to Journal
6. Ernst, P.A. and Viens, F.G. (2019) In memory of Larry Shepp: An editorial. High Frequency, 2(2): 74-75. Link to Journal
7. Ernst, P.A., Kendall, W.S., Roberts, G.O, and Rosenthal, J.S. (2019) MEXIT: Maximal un-coupling times for stochastic processes. Stochastic Processes and their Applications, 129(2): 355-380. PDF Link to Journal
8. Ernst, P.A. and Soleymani, F. (2019) A Legendre-based computational method for solving a class of Ito stochastic delay differential equations. Numerical Algorithms, 80(4): 1267-1282. PDF Link to Journal
9. Ernst, P.A., Kimmel, M., Kurpas, M., and Zhou, Q. (2018) Heavy-tailed distributions in branching process models of secondary cancerous tumors. Advances in Applied Probability, 50(A): 99-114. PDF Link to Journal
10. Ernst, P.A., Asmussen, S., and Hasenbein, J.J. (2018) Stability and busy periods in a multiclass queue with state-dependent arrival rates. Queueing Systems, 90: 207-224. PDF Link to Journal
11. Zhou, Q., Ernst, P.A., Morgan, K.L, Rubin, D.B., and Zhang, A. (2018) Sequential rerandomization. Biometrika, 105(3): 745-752. PDF Link to Journal
12. Ernst, P.A., Rogers, L.C.G, and Zhou, Q. (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF Link to Journal
13. Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal
14. Ernst, P.A. (2017) Minimizing Fisher information with absolute moment constraints. Statistics and Probability Letters 129: 167-170. Link to Journal
15. Ernst, P.A. and Grigorescu, I. (2017) Asymptotics for the time of ruin in the war of attrition. Advances in Applied Probability 49(2): 388-410. PDF Link to Journal
16. Ernst, P.A., Thompson, J.R., and Miao, Y. (2017). Portfolio selection: the power of equal weight. In Models and Reality: A Festschrift for James R. Thompson , pp. 225-236. PDF
17. Ernst, P.A., Thompson, J.R., and Miao, Y. (2017) Tukey's transformational ladder for portfolio management. Financial Markets and Portfolio Management 31(3): 317-355. PDF Link to Journal
18. Ernst, P.A. and Shepp, L.A. (2017) On occupation times of the first and third quadrants for planar Brownian motion. Journal of Applied Probability 54(1): 337-342. PDF Link to Journal
19. Ernst, P.A., Brown, L.D., Shepp, L.A., and Wolpert, R.L. (2017) Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis 155: 180-186. Link to Journal
20. Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Journal
21. Ernst, P.A. and Shepp, L.A. (2016) Eliminating a loophole in the national flood insurance program. Law, Probability and Risk 15(4): 251-258. Link to Journal
22. Ernst, P.A., Pemantle, R., Satopaa, V., and Ungar, L. (2016) Bayesian aggregation of two forecasts in the partial information framework. Statistics and Probability Letters 119: 170-180.
23. Ernst, P.A. (2016) Exercising control when confronted by the (Brownian) spider. Operations Research Letters 44: 487-490. PDF Link to Journal
24. Ernst, P.A. and Shepp, L.A. (2016) On the time for Brownian motion to visit every point on a circle. Journal of Statistical Planning and Inference 171: 130-134. PDF Link to Journal
25. Ernst, P.A. and Shepp, L.A. (2015) Revisiting a theorem of L.A. Shepp on optimal stopping. Communications on Stochastic Analysis 9(3): 419-423. PDF Link to Journal
26. Ernst, P.A., Foster, D.P., and Shepp, L.A. (2014). On optimal retirement. Journal of Applied Probability 51(2): 333-345. Link to Journal
27. Ernst, P.A. (2014). Multiple Collection Estimation of Population Size: A Generalization of "Capture-Recapture." Ph.D. thesis.

Postdoctoral Fellows Advised (sole advisor)

• Quan Zhou, Ph.D. (April 2017-August 2019)
  Current Employment: Tenure-track Assistant Professor of Statistics, Texas A&M University

Ph.D. Students Advised (sole advisor)

• Dongzhou Huang (expected graduation Spring 2022)
• Yizhou Xia, Ph.D. (graduated December 2019)
Current Employment: Data Strategist at BP

Teaching

As an Assistant Professor (tenure-track) and Associate Professor (with tenure) at Rice University, I have taught STAT 310 (undergraduate probability and statistics), STAT 581 (A Ph.D. course in measure-theoretic probability), and STAT 650 (A Ph.D. course in stochastic differential equations). Course reviews may be found below.

• STAT 310 Spring 2015 Spring 2016 Spring 2017 Fall 2018
• STAT 581 Instructor Review
• STAT 650 Instructor Review 1 Instructor Review 2

As a Ph.D. candidate at Wharton Statistics, I taught STAT 101 (undergraduate business statistics). The course review is below.

STAT 101 Instructor Review

Public Outreach

Philip Ernst served as the director of instruction for the July 28-August 2, 2019 summer session of the Tapia Center Say STEM Camp at The Tapia Center for Excellence & Equity at Rice University

In the Media

• October 20, 2016: Making sense of the 'nonsense correlation' in Rice Engineering Magazine (Fall 2016), p.24 Link
• May 13, 2016: Rice University Phi Beta Kappa address Press Release