Comments (2)
There is a Julia translation of Ben Moll's Matlab code to Julia here. It does not use EconPDE.jl
, but can at least get you started.
from econpdes.jl.
Yes, it is possible: you simply need to add a fourth argument in pdesolve for the time grid you want to use. For instance
m = AchdouHanLasryLionsMollModel()
distribution = Gamma(2 * m.κy * m.ybar / m.σy^2, m.σy^2 / (2 * m.κy))
stategrid = OrderedDict(
:y => range(quantile(distribution, 0.001), quantile(distribution, 0.999), length = 10),
:a => range(m.amin, m.amax, length = 100)
)
# value function at terminal time
yend = OrderedDict(:v => [max(a + y)^(1-m.γ)/(1-m.γ) for y in stategrid[:y], a in stategrid[:a]])
# time grid with terminal value at 100 years
τs = range(0, stop = 100, step = 1)
# solve pde
ys, results, distances = pdesolve(m, stategrid, yend, τs)
let me know if that solves your issue!
from econpdes.jl.
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from econpdes.jl.