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QuantEcon
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SimpleDifferentialOperators.jl
Library for simple upwind finite differences
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Full model with backwards controlled drift, absorbing barrier, and solving for the KFE
#184
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jlperla
opened
5 years ago
jlperla
commented
5 years ago
This example is:
Multiple discrete states, each with a different cost of investment for the drift
Don't need to worry about the diffusion term for now, but could add it.
Absorbing barrier at the bottom, artificial reflecting at the top (which would never be active without the diffusion)
Solve the resulting stationary KFE as well, being careful to be conservative
Rebirth will follow an exogenously given, truncated exponential distribution.
This example is: