10 papers
Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
Samer El Boustany, Théo Basseras, Samy Mekkaoui +3
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 fe…
A Zeroth-Order Deep Learning Method for Fully Nonlinear Parabolic Partial Differential Equations with Unknown Coefficients
Yanwei Jia, Du Ouyang, Huyên Pham +1
High-dimensional partial differential equations (PDEs) with unknown coefficients arise widely in scientific machine learning, including continuous-time reinforcement learning, yet…
Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
Pierre Henry-Labordere, Grégoire Loeper, Othmane Mazhar +2
We study a semimartingale optimal transport problem interpolating between the Schrödinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokh…
Learning Generative Dynamics with Soft Law Constraints: A McKean-Vlasov FBSDE Approach
Samer El Boustany, Samy Mekkaoui, Yadh Hafsi +2
We propose a generative framework for learning stochastic dynamics from endpoint and intermediate distributional observations. The method formulates generation as a McKean-Vlasov c…
Direct Estimation of Schrödinger Bridge Time-Series Drifts: Finite-Sample, Asymptotic, and Adaptive Guarantees
Othmane Mazhar, Huyên Pham
We study nonparametric estimation of Schrödinger bridge (SB) drifts from i.i.d.\ data observed on a single time interval. Starting from the conditional-ratio form of the Schrödin…
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
The Schrodinger Bridge and Bass (SBB) formulation, which jointly controls drift and volatility, is an established extension of the classical Schrodinger Bridge (SB). Building on th…