A diffusion model trained with Gauss-Hermite quadrature generates synthetic equity returns that pass a univariate Cramér-von Mises test on an equally weighted portfolio and yield better-conditioned covariance matrices than the historical sample.
G., and Pardoux, E.: Time Reversal of Diffusions, The Annals of Probability , 14, 1188 - 1205 (1986)
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Beyond Monte Carlo: Harnessing Diffusion Models to Simulate Financial Market Dynamics
A diffusion model trained with Gauss-Hermite quadrature generates synthetic equity returns that pass a univariate Cramér-von Mises test on an equally weighted portfolio and yield better-conditioned covariance matrices than the historical sample.