Abstract We correct typographical errors in our original paper.

Abstract This paper studies a composite problem involving decision-making about the optimal entry time and dynamic consumption afterwards. In Stage 1, the investor has access to full market information subject to some information costs and needs to choose an optimal stopping time to initiate Stage 2; in Stage 2, the investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observation of free public stock prices. Habit formation preferences are employed, in which past consumption affects the investor’s current decisions. Using the stochastic Perron method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities.

Abstract In this paper we analyze a simple spectral method (EIG1) for the problem of matrix alignment, consisting in aligning their leading eigenvectors: given two matrices A and B, we compute two corresponding leading eigenvectors $v_1$ and $v'_{\!\!1}$ . The algorithm returns the permutation $\hat{\pi}$ such that the rank of coordinate $\hat{\pi}(i)$ in $v_1$ and that of coordinate i in $v'_{\!\!1}$ (up to the sign of $v'_{\!\!1}$ ) are the same. We consider a model of weighted graphs where the adjacency matrix A belongs to the Gaussian orthogonal ensemble of size $N \times N$ , and B is a noisy version of A where all nodes have been relabeled according to some planted permutation $\pi$ ; that is, $B= \Pi^T (A+\sigma H) \Pi $ , where $\Pi$ is the permutation matrix associated with $\pi$ and H is an independent copy of A. We show the following zero–one law: with high probability, under the condition $\sigma N^{7/6+\epsilon} \to 0$ for some $\epsilon>0$ , EIG1 recovers all but a vanishing part of the underlying permutation $\pi$ , whereas if $\sigma N^{7/6-\epsilon} \to \infty$ , this method cannot recover more than o(N) correct matches. This result gives an understanding of the simplest and fastest spectral method for matrix alignment (or complete weighted graph alignment), and involves proof methods and techniques which could be of independent interest.

Abstract This paper studies estimation of stochastic block models with Rissanen’s minimum description length (MDL) principle in the dense graph asymptotics. We focus on the problem of model specification, i.e., identification of the number of blocks. Refinements of the true partition always decrease the code part corresponding to the edge placement, and thus a respective increase of the code part specifying the model should overweight that gain in order to yield a minimum at the true partition. The balance between these effects turns out to be delicate. We show that the MDL principle identifies the true partition among models whose relative block sizes are bounded away from zero. The results are extended to models with Poisson-distributed edge weights.

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Abstract We study shot noise processes with cluster arrivals, in which entities in each cluster may experience random delays (possibly correlated), and noises within each cluster may be correlated. We prove functional limit theorems for the process in the large-intensity asymptotic regime, where the arrival rate gets large while the shot shape function, cluster sizes, delays, and noises are unscaled. In the functional central limit theorem, the limit process is a continuous Gaussian process (assuming the arrival process satisfies a functional central limit theorem with a Brownian motion limit). We discuss the impact of the dependence among the random delays and among the noises within each cluster using several examples of dependent structures. We also study infinite-server queues with cluster/batch arrivals where customers in each batch may experience random delays before receiving service, with similar dependence structures.

Abstract Motivated by applications to a wide range of areas, including assemble-to-order systems, operations scheduling, healthcare systems, and the collaborative economy, we study a stochastic matching model on hypergraphs, extending the model of Mairesse and Moyal (J. Appl. Prob.53, 2016) to the case of hypergraphical (rather than graphical) matching structures. We address a discrete-event system under a random input of single items, simply using the system as an interface to be matched in groups of two or more. We primarily study the stability of this model, for various hypergraph geometries.

Abstract Queueing networks are stochastic systems formed by interconnected resources routing and serving jobs. They induce jump processes with distinctive properties, and find widespread use in inferential tasks. Here, service rates for jobs and potential bottlenecks in the routing mechanism must be estimated from a reduced set of observations. However, this calls for the derivation of complex conditional density representations, over both the stochastic network trajectories and the rates, which is considered an intractable problem. Numerical simulation procedures designed for this purpose do not scale, because of high computational costs; furthermore, variational approaches relying on approximating measures and full independence assumptions are unsuitable. In this paper, we offer a probabilistic interpretation of variational methods applied to inference tasks with queueing networks, and show that approximating measure choices routinely used with jump processes yield ill-defined optimization problems. Yet we demonstrate that it is still possible to enable a variational inferential task, by considering a novel space expansion treatment over an analogous counting process for job transitions. We present and compare exemplary use cases with practical queueing networks, showing that our framework offers an efficient and improved alternative where existing variational or numerically intensive solutions fail.

Abstract Oscillatory systems of interacting Hawkes processes with Erlang memory kernels were introduced by Ditlevsen and Löcherbach (Stoch. Process. Appl., 2017). They are piecewise deterministic Markov processes (PDMP) and can be approximated by a stochastic diffusion. In this paper, first, a strong error bound between the PDMP and the diffusion is proved. Second, moment bounds for the resulting diffusion are derived. Third, approximation schemes for the diffusion, based on the numerical splitting approach, are proposed. These schemes are proved to converge with mean-square order 1 and to preserve the properties of the diffusion, in particular the hypoellipticity, the ergodicity, and the moment bounds. Finally, the PDMP and the diffusion are compared through numerical experiments, where the PDMP is simulated with an adapted thinning procedure.

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