Look into the proper boundary conditions for solving the KFE with a diffusion

QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences

MIT License

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Look into the proper boundary conditions for solving the KFE with a diffusion #124

Closed jlperla closed 5 years ago

jlperla commented 5 years ago

Remember there is an integrability constraint and something on the bottom/top. Without taking the transpose of the operator, find the proper PDE for the KFE.

jlperla commented 5 years ago

Do absorbing barrier vs. the reflecting barrier separately.

jlperla commented 5 years ago

See https://cims.nyu.edu/~holmes/teaching/asa2019.html#notes

I think there is an example or two, mabye lecture 10? Otherwise use https://cims.nyu.edu/~holmes/teaching/asa17/handout-Lecture11_2017.pdf