search

matthieugomez / EconPDEs.jl

Solve non-linear HJB equations.
Other
121 stars 41 forks source link

Finite horizon boundary problem #14

Closed azev77 closed 4 years ago

azev77 commented 4 years ago

I'm having trouble solving a simple finite horizon bvp.

A simple example: 

V_t + 2*V_x =0
V(0,t) = t

The closed form solution is V(x,t) = .5*(2t-x). Is there a direct way to solve this using EconPDEs?

matthieugomez commented 4 years ago

I don’t think so — it’s more about PDEs that correspond to some kind of backward iterations.

azev77 commented 4 years ago

Just to be clear, does that mean it currently isn't designed to solve finite horizon problems, boundary value problems, or both?

For example, a deterministic, finite horizon version of the consumption-saving problem? with terminal wealth

V(w, T) = (w^(1-gamma))/(1-gamma)
matthieugomez commented 4 years ago

It is not designed to solve any BVP. It can solve finite horizon problems, as well as infinite horizon problems.

On Mon, Jan 27, 2020 at 7:53 PM azev77 notifications@github.com wrote:

Just to be clear, does that mean it currently isn't designed to solve finite horizon problems, boundary value problems, or both?

For example, a deterministic, finite horizon version of the consumption-saving problem https://github.com/matthieugomez/EconPDEs.jl/blob/master/examples/ConsumptionProblem/AchdouHanLasryLionsMoll_OneAsset.jl? with terminal wealth

V(w, T) = (w^(1-gamma))/(1-gamma)

— You are receiving this because you commented. Reply to this email directly, view it on GitHub https://github.com/matthieugomez/EconPDEs.jl/issues/14?email_source=notifications&email_token=ABPPPXJPLEAOONR7YJCIIG3Q756XXA5CNFSM4KMKIF2KYY3PNVWWK3TUL52HS4DFVREXG43VMVBW63LNMVXHJKTDN5WW2ZLOORPWSZGOEKBUKUY#issuecomment-579028307, or unsubscribe https://github.com/notifications/unsubscribe-auth/ABPPPXPYHSTRFT5GUWOQWMTQ756XXANCNFSM4KMKIF2A .