Module numeric 

Numerical Solvers.

This module implements the algorithms for solving the HJB equation.

• solver: Common trait interface for all numerical solvers.
• finite_difference: Grid-based PDE solver (Policy Iteration with Implicit/Explicit/CN schemes).
• bsde: A probabilistic solver using Backward Stochastic Differential Equations (Monte Carlo regression).
• result: Standard output structure for numerical solvers.
• basis: Polynomial basis functions for regression (Power, Hermite, Chebyshev, Laguerre).
• ode: ODE solvers (Euler, RK4, Spectral).

Modules

basis

bsde

BSDE Solver

ergodic

Ergonomic stationary eigenproblems solved by Perron iteration.

finite_difference

Finite Difference Policy Iteration Solver.

ode

result

Generic output from a numerical HJB solver.

solver