This paper introduces a new approach to generating sample paths of unknown stochastic differential equations (SDEs) using diffusion models, a class of generative AI models commonly employed in image and video applications. Unlike the traditional Monte Carlo methods for simulating SDEs, which require explicit specifications of the drift and diffusion coefficients, our method takes a model-free, data-driven approach. Given a finite set of sample paths from an SDE, we utilize conditional diffusion models to generate new, synthetic paths of the same SDE. To demonstrate the effectiveness of our approach, we conduct a simulation experiment to compare our method with alternative benchmark ones including neural SDEs. Furthermore, in an empirical study we leverage these synthetically generated sample paths to enhance the performance of reinforcement learning algorithms for continuous-time mean-variance portfolio selection, hinting promising applications of diffusion models in financial analysis and decision-making.

Navigation path traces play a crucial role in video game design, serving as a vital resource for both enhancing player engagement and fine-tuning non-playable character behavior. Generating such paths with human-like realism can enrich the overall gaming experience, and evaluating path traces can provide game designers insights into player interactions. Despite the impressive recent advancements in deep learning-based generative modeling, the video game industry hesitates to adopt such models for path generation, often citing their complex training requirements and interpretability challenges. To address these problems, we propose a novel path generation and evaluation approach that is grounded in principled nonparametric statistics and provides precise control while offering interpretable insights. Our path generation method fuses two statistical techniques: (1) nonparametric model-free transformations that capture statistical characteristics of path traces through time; and (2) copula models that capture statistical dependencies in space. For path evaluation, we adapt a nonparametric three-sample hypothesis test designed to determine if the generated paths are overfit (mimicking the original data too closely) or underfit (diverging too far from it). We demonstrate the precision and reliability of our proposed methods with empirical analysis on two existing gaming benchmarks to showcase controlled generation of diverse navigation paths. Notably, our novel path generator can be fine-tuned with user controllable parameters to create navigation paths that exhibit varying levels of human-likeness in contrast to those produced by neural network-based agents. The code is available at https://github.com/daniel-campa/mf-copula.