5 papers
Asymptotic optimality of dynamic first-fit packing on the half-axis
Philip A. Ernst, Alexander L. Stolyar, Jixin Wang
We revisit a classical problem in dynamic storage allocation. Items arrive in a linear storage medium, modeled as a half-axis, at a Poisson rate and depart after an independent…
Tests of independence for pairs of paths of non-stationary Gaussian processes
Philip A. Ernst, Frederi G. Viens, Shuo Yan
In the current work, we provide theoretical results for testing (in)dependence between pairs of paths of most commonly studied non-stationary Gaussian processes - standard Brownian…
Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes with Gaussian increments
Philip A. Ernst, Dongzhou Huang
This paper begins with a study of the exact distribution of the empirical correlation of two independent AR(1) processes with Gaussian increments. We proceed to develop rates of co…
The value of partial information
Philip A. Ernst, Oleksii Mostovyi
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information tha…
Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: The correlated case
Soukaina Douissi, Philip Ernst, Frederi Viens
We study the continuous-time version of the empirical correlation coefficient between the paths of two possibly correlated Ornstein-Uhlenbeck processes, known as Yule's nonsense co…