Philip Ernst

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Person:512006

Available identifiers

zbMath Open ernst.philip-aWikidataQ102421208 ScholiaQ102421208MaRDI QIDQ512006

List of research outcomes





PublicationDate of PublicationType
The minimax Wiener sequential testing problem2025-01-14Paper
Yule's ``Nonsense correlation: moments and density2024-11-05Paper
Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems2024-07-30Paper
Quickest real-time detection of multiple Brownian drifts2024-07-09Paper
On the Diameter of the Stopped Spider Process2024-03-05Paper
Exact Optimal Stopping for Multidimensional Linear Switching Diffusions2024-02-27Paper
The Minimax Wiener Sequential Testing Problem2023-10-31Paper
Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes2023-10-12Paper
Yule's ``nonsense correlation for Gaussian random walks2023-07-12Paper
Quickest Real-Time Detection of Multiple Brownian Drifts2023-05-09Paper
Quickest real-time detection of a Brownian coordinate drift2022-10-10Paper
The least favorable noise2022-07-08Paper
Fiscal stimulus as an optimal control problem2022-06-20Paper
The rencontre problem2022-06-20Paper
Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary2022-02-14Paper
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant2021-11-03Paper
Optimal real-time detection of a drifting Brownian coordinate2021-03-18Paper
The Value of Insight2021-01-08Paper
When is it best to follow the leader?2020-04-29Paper
Heavy-tailed distributions in branching process models of secondary cancerous tumors2020-02-05Paper
The bias mapping of the Yule-Walker estimator is a contraction2019-11-19Paper
Asymptotics for the time of ruin in the war of attrition2019-09-16Paper
Yule's "nonsense correlation" solved: Part II2019-09-05Paper
Stability and busy periods in a multiclass queue with state-dependent arrival rates2019-07-31Paper
A Legendre-based computational method for solving a class of Itô stochastic delay differential equations2019-03-26Paper
MEXIT: maximal un-coupling times for stochastic processes2019-01-25Paper
Sequential rerandomization2018-12-10Paper
On occupation times of the first and third quadrants for planar Brownian motion2018-09-26Paper
Exercising control when confronted by a (Brownian) spider2018-02-06Paper
Minimizing Fisher information with absolute moment constraints2017-12-22Paper
The value of foresight2017-11-09Paper
Yule's ``nonsense correlation solved!2017-09-08Paper
On the arbitrage price of European call options2017-04-13Paper
Stationary Gaussian Markov processes as limits of stationary autoregressive time series2017-02-23Paper
Bayesian aggregation of two forecasts in the partial information framework2016-10-31Paper
On the time for Brownian motion to visit every point on a circle2016-03-08Paper
On Optimal Retirement2014-07-11Paper
The General Stationary Gaussian Markov Process2013-12-31Paper
Asymptotic optimality of dynamic first-fit packing on the half-axisN/APaper
The Gapeev-Shiryaev ConjectureN/APaper

Research outcomes over time

This page was built for person: Philip Ernst