README.md

Code and Tests for Continuous Time Methods

The documentation of these algorithms is in:

• General discretization of operators with finite differences: operator_discretization_finite_differences.pdf
• Solving optimal stopping problems: optimal_stopping.pdf

Variations on Solutions to Optimal Stopping Problems

See Ben Moll's Heterogeneous Agent Models in Continuous Time project. In particular

• Stopping Time Problem I: Exercising an Option:: with http://www.princeton.edu/~moll/HACTproject/option_simple_LCP.m
• Stopping Time Problem II: Liquid and Illiquid Assets and Fixed Adjustment Costs:: with http://www.princeton.edu/~moll/HACTproject/liquid_illiquid_LCP.m