The absolute value will create a singularity... what are the stochastic equations that lead to that PDE? Looks to me like looking at the dual problem would make more sense numerically.
On Tue, Oct 13, 2009 at 11:01 AM, Borden, Doug <[email protected]> wrote: > Hello, > > > > I’ve just started using FiPy for a problem in quantitative finance, and I > need a bit of help getting started. I’ve cast a particular problem in > trading as a stochastic control problem, and after deriving the relevant > Hamilton-Jacobi-Bellman equation, I end up with a PDE to solve (see attached > PDF). I have two questions: > > > > 1) Do I only have a source term and a transient term, or can I cast > my problem with a convection term? > > 2) How do I specify my boundary conditions? > > > > Any help you can offer would be greatly appreciated. > > > > Best Regards, > > > > Doug Borden > > > > –––––––––––––––––––––––––––––––––––––––––––– > > * Douglas L. Borden*, Managing Director > > T: 201.239.2208 | F: 201.356.2279 | C: 646.416.4875 > > Email: [email protected] | AIM: DBordenAtKnight > > LinkedIn: www.linkedin.com/in/douglasborden > > Knight Equity Markets, L.P. > > 545 Washington Boulevard | Jersey City, NJ 07310 > > *––––––––––––––––––––––––––––––––––––––––––––* > > > > > DISCLAIMER: > This e-mail, and any attachments thereto, is intended only for use by the > addressee(s)named herein and > may contain legally privileged and/or confidential information. If you are > not the intended recipient of this > e-mail, you are hereby notified that any dissemination, distribution or > copying of this e-mail and any attachments > thereto, is strictly prohibited. If you have received this in error, please > immediately notify me and permanently > delete the original and any printout thereof. E-mail transmission cannot > be guaranteed to be secure or error-free. > The sender therefore does not accept liability for any errors or omissions > in the contents of this message which > arise as a result of e-mail transmission. > NOTICE REGARDING PRIVACY AND CONFIDENTIALITY > Knight Capital Group may, at its discretion, monitor and review the content > of all e-mail communications. > > http://www.knight.com > >
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