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 reference drift and adjusts its volatility, while a regularization penalty limits unnecessary departures from the calibrated dynamics. We solve the resulting control problem using a neural, sample-based implementation of the stochastic maximum principle. We validate the method against an exactly computable oracle. On Heston and Heston-mixture models, Deep-MKV-TS substantially red...
| Authors | Samer El Boustany, Théo Basseras, Samy Mekkaoui et al. |
|---|---|
| Primary category | q-fin.CP |
| Published | 19 August 2026 |
| Last updated at source | 19 August 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.