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math.ST2021
Strong Invariance Principles for Ergodic Markov Processes
Ardjen Pengel, Joris Bierkens
Strong invariance principles describe the error term of a Brownian approximation of the partial sums of a stochastic process. While these strong approximation results have many app…
math.ST2020★ 18 cited
A piecewise deterministic Monte Carlo method for diffusion bridges
Joris Bierkens, Sebastiano Grazzi, Frank van der Meulen +1
We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme…