anriseth / HJBSolver.jl

General solver for Hamilton-Jacobi-Bellman equations
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Implement -c(t,x,a)v term in the differential operator #1

Open anriseth opened 8 years ago

anriseth commented 8 years ago

Extend the code to handle equations of the form

v_t+\sup_{a\in A}\{b*v_x + 1/2*\sigma^2*v_{xx} - c*v + f\} = 0