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Jani Nykänen

Publications and source records attributed to Jani Nykänen.

4 recordsLinked to original sources

Invariance of Clustering Operations in Causal Effect Identification

Clustering variables in causal graphs reduces the size of the graph and simplifies causal inference. However, arbitrary clustering can alter crucial causal relations among variables and lead to erroneous conclusions. While the identifiability of a causal effect in the clustered graph implies the identifiability in the original graph under mild conditions, nonidentifiability in clustered graph does not imply nonidentifiability in the original graph without further assumptions. When both identifiability and nonidentifiability are preserved, the clustering operation is called identification invariant. We present a broad class of clustering operations that are identification invariant based on conditions related to the c-components of the original graph. Finally, we demonstrate use of the results in practical settings.

stat.ML↗

Convergence rate for random walk approximations of mean field BSDEs

We study the rate of convergence w.r.t.~a Wasserstein type distance for random walk approximations of mean field BSDEs. Our method does not use the particle method but instead a freezing technique. We extend results by Briand, Ch. Geiss, S. Geiss, and Labart [Bernoulli, 27(2) 2021] about the rate of convergence of a Donsker-type theorem for BSDEs from the classical setting to the mean field setting. In this connection the mean field setting leads to new phenomena and requires new techniques that should be of independent interest: The Hölder continuous terminal condition causes a singularity in time of the generator when seen as a generator in the non-mean field setting. To handle this singularity we introduce a concept of modified Hölder continuity by which we are able to achieve, up to a logarithmic term, the same polynomial approximation rates as in the classical non-mean field setting (in fact, already when approximating the Brownian motion itself a logarithmic term is necessary). Moreover, the exploited freezing technique of the mean field terms yields to the problem to handle the quantitative behavior of several different generators. Using BMO-techniques we obtain the rate of convergence for the integrated gradient process in the scale of Lorentz (type) spaces of exponential type.

math.PR↗

Mean field stochastic differential equations with a diffusion coefficient with irregular distributional dependence

We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To determine the distribution function we show that under certain conditions these equations can be transformed into SDEs with deterministic coefficients using a Lamperti-type transformation. We prove an existence and uniqueness result and consider cases when the uniqueness may fail or a solution exists only for a finite time.

math.PR↗