Nonparametric generative modeling for time series via Schr¨odinger bridge
Mohamed Hamdouche, P. Henry-Labordère, Huyên Pham
· 1 citation
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Preprint
Aug 2026
Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
We introduce Deep-MKV-TS, a path-dependent McKean-Vlasov framework for financial scenario generation. The stochastic dynamics are chosen by matching selected path and volatility features of generated scenarios to those observed in the data. Starting from an interpretable reference model, Deep-MKV-TS preserves the refer...
Samer Boustany, Théo Basseras, Samy Mekkaoui et al.
· 0 citations