QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences
MIT License
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Incorrect statement of ODE for the jump diffusion process #173

Closed jlperla closed 5 years ago

jlperla commented 5 years ago

See https://quantecon.github.io/SimpleDifferentialOperators.jl/dev/#Solving-HJBE-with-jump-diffusion-1 and the equation.

chiyahn commented 5 years ago

I'll make a fix soon once I finish writing up the math for discrete-continuous state stuff. The notebook is still in a PR (I'll merge it after I make a fix)