Integrate NNStopping and NNKolmogorov in HighDimPDE.jl

[vboussange]

NeuralPDE.KolmogorovPDEProblem, documented in

• https://neuralpde.sciml.ai/dev/solvers/kolmogorovbackwards_solver/
• https://neuralpde.sciml.ai/dev/examples/kolmogorovbackwards/

are HighDimPDE.PIDEProblem where the nonlinear term is 0.
Associated code and documentation should be migrated to HighDimPDE.jl, which is a more appropriate package to host those types of problem.

Similarly, the optimal stopping problem solver NeuralPDE.NNStopping, documented in

• https://neuralpde.sciml.ai/dev/solvers/optimal_stopping/
• https://neuralpde.sciml.ai/dev/examples/optimal_stopping_american/

should be transferred to HighDimPDE.jl.

[KirillZubov]

@vboussange which can I help with it issue?

[vboussange]

@KirillZubov yes, it would be great! I have not started any of those. You could try to implement KolmogorovPDEProblem and NNStopping on the branch https://github.com/SciML/HighDimPDE.jl/tree/NeuralPDE_integration, as well as transferring the documentation.

[KirillZubov]

ok, I will do it