QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences
MIT License
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Implement simple baseline value function solutions with DiffEqOperators and compare #204

Open jlperla opened 4 years ago

jlperla commented 4 years ago

@PooyaFa @ajozefiak

We are getting closer to having a full library for dealing with differential operators and composition, but there are likely bugs we need to work through. So @PooyaFa I was hoping you could work with Adam to use the DiffEqOperators.jl to implement some of the test cases we have built up. A good one to start with is https://quantecon.github.io/SimpleDifferentialOperators.jl/stable/examples/#Solving-HJBE-with-constant-drifts-1

My suggestion is the following:

pooyaravari commented 4 years ago

I wrote codes and tests for negative, positive, and state dependent drifts. I hope it helps. Codes are in https://github.com/QuantEcon/SimpleDifferentialOperators.jl/pull/205