Philip A. Ernst

activity

20132025

most citedEscape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

9 citations · 24 across the 24 of their papers we have counts for

collaborators

Showing 2020Show all

3 papers · 1 filter

math.PR2020

Quickest Real-Time Detection of a Brownian Coordinate Drift

Philip A. Ernst, Goran Peskir

Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/un…

math.PR2020★ 8 cited

Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary

Philip Ernst, Sandro Franceschi

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 plane. This wo…

math.PR2020

The rencontre problem

F. Thomas Bruss, Philip A. Ernst, Dongzhou Huang

Let ${X_{k}^{1}}_{k = 1}^{\infty}, {X_{k}^{2}}_{k = 1}^{\infty}, \dots, {X_{k}^{d}}_{k = 1}^{\infty}$ be $d$ independent sequences of Bernoulli random v…