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Bierkens, G.N.J.C. (author), Grazzi, S. (author), van der Meulen, F.H. (author), Schauer, M.R. (author)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 based on a non-reversible continuous piecewise deterministic Markov process. Similar to the Lévy–Ciesielski construction of a Brownian motion, we expand the...journal article 2021