Hello,
Thank you for writing a code to solve FPE. The examples seem to use some physics language, which I find difficult to translate to "standard" math formulation. Can you please let me know how to setup a problem to solve the following problem. Suppose the two state-variables follow
dy_t = x_tdt
dx_t = f(x_t, y_t)dt + bdW_t,
where b is a constant and f(x_t, y_t) is a general function (it ensures that x_t and y_t have stationary dynamics on 0<x<inf, y<0<inf).
I would like to solve for a stationary density g, which amount to solving the following FPE: -xg'_y - (f(x,y)g)'_x +b^2*g''_xx/2 = 0. Does you code allow to solve this problem? And if so, how one can do that?
Many thanks,
Igor
Hello,
Thank you for writing a code to solve FPE. The examples seem to use some physics language, which I find difficult to translate to "standard" math formulation. Can you please let me know how to setup a problem to solve the following problem. Suppose the two state-variables follow
dy_t = x_tdt
dx_t = f(x_t, y_t)dt + bdW_t,
where b is a constant and f(x_t, y_t) is a general function (it ensures that x_t and y_t have stationary dynamics on 0<x<inf, y<0<inf).
I would like to solve for a stationary density g, which amount to solving the following FPE: -xg'_y - (f(x,y)g)'_x +b^2*g''_xx/2 = 0. Does you code allow to solve this problem? And if so, how one can do that?
Many thanks,
Igor