Verify algebra in the optimal_stopping.tex notes

jlperla / continuous_time_methods

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Verify algebra in the optimal_stopping.tex notes #12

Closed jlperla closed 7 years ago

jlperla commented 7 years ago

You will see that this is a split file which takes the discretization of the operator as given. Check the algebra against http://www.princeton.edu/~moll/HACTproject/option_simple.pdf and make sure that I added the slack variable correctly in my addition, as we may need to use that specification for some approaches.

stevenzhangdx commented 7 years ago

I checked this file against Moll's one and everything looks great. Only one typo that has been corrected.