Search Results - "Ernst, Philip"

Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary by Ernst, Philip A., Franceschi, Sandro

“…Let π be the occupancy density of an obliquely reflected Brownian motion in the half plane and let (ρ, α) be the polar coordinates of a point in the upper half…”
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Quickest real-time detection of a Brownian coordinate drift by Ernst, Philip A., Peskir, Goran

“…Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and…”
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Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant by Ernst, Philip A., Franceschi, Sandro, Huang, Dongzhou

“…We consider an obliquely reflected Brownian motion Z with positive drift in a quadrant stopped at time T, where T≔inf{t>0:Z(t)=(0,0)} is the first hitting time…”
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Sequential rerandomization by ZHOU, QUAN, ERNST, PHILIP A., MORGAN, KARI LOCK, RUBIN, DONALD B., ZHANG, ANRU

“…The seminal work of Morgan & Rubin (2012) considers rerandomization for all the units at one time. In practice, however, experimenters may have to rerandomize…”
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A Legendre-based computational method for solving a class of Itô stochastic delay differential equations by Ernst, Philip A., Soleymani, Fazlollah

“…This paper provides a numerical method for solving a class of Itô stochastic delay differential equations (SDDEs). The method’s novelty is its use of the…”
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The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization by Gerber, Sander, Markowitz, Harry M., Ernst, Philip A., Miao, Yinsen, Javid, Babak, Sargen, Paul

“…The purpose of this article is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio…”
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YULE'S "NONSENSE CORRELATION" SOLVED by Ernst, Philip A., Shepp, Larry A., Wyner, Abraham J.

“…In this paper, we resolve a longstanding open statistical problem. The problem is to mathematically prove Yule's 1926 empirical finding of "nonsense…”
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On occupation times of the first and third quadrants for planar Brownian motion by Ernst, Philip A., Shepp, Larry

“…In Bingham and Doney (1988) the authors presented the applied probability community with a question which is very simply stated, yet is extremely difficult to…”
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Asymptotics for the time of ruin in the war of attrition by Ernst, Philip A., Grigorescu, Ilie

“…We consider two players, starting with m and n units, respectively. In each round, the winner is decided with probability proportional to each player's…”
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Heavy-tailed distributions in branching process models of secondary cancerous tumors by Ernst, Philip A., Kimmel, Marek, Kurpas, Monika, Zhou, Quan

“…Recent progress in microdissection and in DNA sequencing has facilitated the subsampling of multi-focal cancers in organs such as the liver in several hundred…”
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Stability and busy periods in a multiclass queue with state-dependent arrival rates by Ernst, Philip A., Asmussen, Søren, Hasenbein, John J.

“…We introduce a multiclass single-server queueing system in which the arrival rates depend on the current job in service. The system is characterized by a…”
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Tukey’s transformational ladder for portfolio management by Ernst, Philip A., Thompson, James R., Miao, Yinsen

“…Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted Standard and Poor (S&P 500)…”
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On Optimal Retirement by Ernst, Philip A., Foster, Dean P., Shepp, Larry A.

“…We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function f and our current net worth X(t) for any…”
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Exercising control when confronted by a (Brownian) spider by Ernst, Philip

“…We consider the Brownian “spider,” a construct introduced in Dubins and Schwarz (1988) and in Barlow and Pitman (1989). In this note, the author proves the…”
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On the arbitrage price of European call options by Ernst, Philip

“…We show that in a discrete price and discrete time model for option pricing, specifically that given by the Cox-Ross-Rubinstein model, the arbitrage price of a…”
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Minimizing Fisher information with absolute moment constraints by Ernst, Philip A.

“…Given p>0, we minimize the Fisher information of the probability measure μ with density g with given first moment ∫xg(x)dx=m and given absolute pth moment…”
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THE BIAS MAPPING OF THE YULE–WALKER ESTIMATOR IS A CONTRACTION by Ernst, Philip A., Shaman, Paul

“…This paper addresses a long-standing conjecture that order 1/T bias mappings arising from Yule–Walker estimation of autoregressive coefficients are…”
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Yule’s “nonsense correlation” for Gaussian random walks by Ernst, Philip A., Huang, Dongzhou, Viens, Frederi G.

“…This paper provides an exact formula for the second moment of the empirical correlation (also known as Yule’s “nonsense correlation”) for two independent…”
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The rencontre problem by Thomas Bruss, F., Ernst, Philip A., Huang, Dongzhou

“…Let Xk1k=1∞,Xk2k=1∞,…,Xkdk=1∞ be d independent sequences of Bernoulli random variables with success-parameters p1,p2,…,pd respectively, where d≥2 is a positive…”
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Fiscal stimulus as an optimal control problem by Ernst, Philip A., Imerman, Michael B., Shepp, Larry, Zhou, Quan

“…During the Great Recession, Democrats in the United States argued that government spending could be utilized to “grease the wheels” of the economy in order to…”
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