search

QuantEcon / SimpleDifferentialOperators.jl

Library for simple upwind finite differences
MIT License
12 stars 2 forks source link

Solve transition dynamics with the KFE for a diffusion process from operators/boundaries directly #52

Open jlperla opened 5 years ago

jlperla commented 5 years ago

Do without any time-variation in the operator itself, just transition dynamics. Pick an initial condition different than the steady state (but maybe in a small difference so you can visually see the evolution) Solve the KFE from that initial condition forwards with the DiffEq. Might work well with the matrix exponential integrators with DiffEq.

jlperla commented 5 years ago

Given the solution for #54, we can solve for the transition dynamics of the KFE.

Put this in a separate notebook in the "notebooks" section of the site so we don't need to have DiffEq as a general dependency. We will be able to add in more exposition there as well.

Then we just need to start the equation off from an initial condition that is not in the steady state, and then solve the transition dynamics with DiffEq.