Expand description
FD-specific contract for grid-based HJB solvers.
crate::models::control::ControlProblem is the solver-agnostic
stochastic-control contract. It supplies a scalar driver and is consumed by
both the BSDE regression solver and the explicit-Euler finite-difference
step. A scalar driver is not sufficient to assemble the implicit operator
(I - dt L) V_new = V_old + dt sbecause L carries off-diagonal transport coefficients. This module
defines the contract consumed only by time-dependent grid PDE solvers: the
model supplies the per-dimension transport coefficients and a local source,
and the solver builds the operator from those parts.
The shared spatial primitives (DimensionKind, Transport) are defined in
super::discretization.
Traitsยง
- PdeProblem
- Finite-difference view of a time-dependent stochastic optimal control problem.