9 citations · 24 across the 24 of their papers we have counts for
5 papers · 2 filters
Exact optimal stopping for multidimensional linear switching diffusions
Philip Ernst, Hongwei Mei
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems…
On the diameter of the stopped spider process
Ewelina Bednarz, Philip A. Ernst, Adam Osekowski
We consider the Brownian ``spider process'', also known as Walsh Brownian motion, first introduced in the epilogue of Walsh 1978. The paper provides the best constant for the…
The least favorable noise
Philip A. Ernst, Abram M. Kagan, L. C. G. Rogers
Suppose that a random variable of interest is observed perturbed by independent additive noise . This paper concerns the "the least favorable perturbation" $\hat Y_\ep$, whi…
Yule's "nonsense correlation" for Gaussian random walks
Philip A. Ernst, Dongzhou Huang, Frederi G. Viens
The purpose of this paper is to provide an exact formula for the second moment of the empirical correlation of two independent Gaussian random walks as well as implicit formulas fo…
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
Philip Ernst, Sandro Franceschi, Dongzhou Huang
We consider an obliquely reflected Brownian motion with positive drift in a quadrant stopped at time , where is the first hitting time of th…