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This repository has been archived by the owner on Jul 19, 2023. It is now read-only.
After #46, we should go back through those examples and solve simple HJBE equations for the different cases of boundaries and variances. In general, pick a payoff function and a discount rate , then for the operator , the ODE to solve is
$$
\rho v(x) = u(x) + \mathcal{A} v(x)
$$
Or to setup the differential equation in a simpler form,
$$
(\rho I - \mathcal{A})v(x) = u(x)
$$
So we can solve the ODEs by lazily getting the operator and then solving . Discuss some examples of how to solve this with Chris.
The text was updated successfully, but these errors were encountered:
After #46, we should go back through those examples and solve simple HJBE equations for the different cases of boundaries and variances. In general, pick a payoff function and a discount rate , then for the operator , the ODE to solve is operator and then solving . Discuss some examples of how to solve this with Chris.
$$
\rho v(x) = u(x) + \mathcal{A} v(x)
$$
Or to setup the differential equation in a simpler form,
$$
(\rho I - \mathcal{A})v(x) = u(x)
$$
So we can solve the ODEs by lazily getting the
The text was updated successfully, but these errors were encountered: