High voltage indicator circuit and short/open circuit protection best implementation
You have not stated the allowable ripple voltages.
This may be important, because higher ripple will allow you to use smaller capacitors, and that lower stored energy may save your life, or avoid destroying some of your PhD measurement setup==s.
Thus you might use 1uF at 6KV at 10 volts ripple at 10mA, at 10KHz,
What do we know? I = C * dV/dT, and I /( C * dV) = 1/dT
0.01 amp ( 1uF/10V) = frequency = 0.01/1e-5 = 10,000Hz
And us 1uf at 3KV at 10 volts ripple, 200  mA, but have a much higher chopping frequency: 200KHz will suffice.
In both cases, yhou can use a SMALL (safer) capacitor.
Just an idea.