Finish off the HJBE with controlled drift example

QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences

MIT License

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Finish off the HJBE with controlled drift example #200

Open jlperla opened 5 years ago

jlperla commented 5 years ago

(1) use SDO in a notebook as an example in SDO.jl (2) Implement the algorithm using only tridiagonal matrices/etc. without using SDO. Make as fast as possible, to compare against matlab. Same number of steps, etc. Comparing exact algorithm.