Skip to content
This repository was archived by the owner on Jul 19, 2023. It is now read-only.
This repository was archived by the owner on Jul 19, 2023. It is now read-only.

Add tests for central differences for a 2nd order operator with non-zero Dirichlet boundaries #50

@jlperla

Description

@jlperla

This expands on #46 to add in the cases where things are non-zero. Not worth doing until a redesign of the interface for boundary values occurs:

  • Simple $d X_t = d W_t$ discretization with central differences and with an absorbing boundary at $\underline{x}$ and a reflecting boundary at $\bar{x}$. For the absorbing barrier, make sure to try $\underline{v}\neq 0$
  • Simple $d X_t = d W_t$ discretization with central differences and with a reflecting boundary at $\underline{x}$ and an absorbing boundary at $\bar{x}$. For the absorbing barrier, make sure to try $\bar{v}\neq 0$
  • Simple $d X_t = \sigma(X_t) d W_t$ discretization with central differences and with an absorbing boundary at $\underline{x}$ and a reflecting boundary at $\bar{x}$. For the absorbing barrier, make sure to try $\underline{v}\neq 0$ and make sure there is variation in the $\sigma(\cdot)$ function.

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Type

    No type

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions