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QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences
MIT License
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Implement HJBE with absorbing barrier with DiffEqOperators #207

Closed jlperla closed 4 years ago

jlperla commented 4 years ago

Following the #204 pattern @ajozefiak

jlperla commented 4 years ago

https://quantecon.github.io/SimpleDifferentialOperators.jl/stable/examples/#Solving-HJBE-with-absorbing-barrier-conditions-1

pooyaravari commented 4 years ago

It's done in https://github.com/QuantEcon/SimpleDifferentialOperators.jl/pull/205 . However, I couldn't find an equivalent use of Laffine in DEO. @ajozefiak it would be great if you suggest a better way. Right now I wrote the equation itself from https://quantecon.github.io/SimpleDifferentialOperators.jl/stable/examples/#Solving-HJBE-with-absorbing-barrier-conditions-1 .

pooyaravari commented 4 years ago

Except for Laffine which for this example is only for the first element of \pi_star, I think the test and samples are ready to work on.