Solve one-dimensional HJB equations of the form
v_t + \sup_{a\in A}\{ b(t,x,a)*v_x + \frac{1}{2}\sigma(t,x,a)^2v_{xx} + f(t,x,a)\}= 0
HJBSolver implements two Finite Difference solvers based on the algorithms described
in forsyth2007numerical
:
@article{forsyth2007numerical,
title={Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance},
author={Forsyth, Peter A and Labahn, George},
journal={Journal of Computational Finance},
volume={11},
number={2},
pages={1},
year={2007}
}