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…
Learning Generative Dynamics with Soft Path-Law Constraints: A McKean-Vlasov FBSDE Approach
Samer El Boustany, Samy Mekkaoui, Yadh Hafsi +2
We introduce a unified framework for learning stochastic dynamics from distributional observations and discretely observed trajectories. The key contribution is to combine soft law…
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 Schrödinge…
SBBTS: A Unified Schrödinger-Bass Framework for Synthetic Financial Time Series
Alexandre Alouadi, Grégoire Loeper, Célian Marsala +2
We study the problem of generating synthetic time series that reproduce both marginal distributions and temporal dynamics, a central challenge in financial machine learning. Existi…
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 Skorokho…
Schrödinger bridges with jumps for time series generation
Stefano De Marco, Huyên Pham, Davide Zanni
We study generative modeling for time series using entropic optimal transport and the Schrödinger bridge (SB) framework, with a focus on applications in finance and energy modeling…
A PDE Derivation of the Schrödinger--Bass Bridge
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
This short paper announces the main results of \cite{SBB2026}, where the Schrödinger--Bass Bridge (SBB) problem is introduced and studied in full generality. Here we provide a dire…
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…
Robust time series generation via Schrödinger Bridge: a comprehensive evaluation
Alexandre Alouadi, Baptiste Barreau, Laurent Carlier +1
We investigate the generative capabilities of the Schrödinger Bridge (SB) approach for time series. The SB framework formulates time series synthesis as an entropic optimal interpo…