{"repo":"matthieugomez/EconPDEs.jl","free":true,"listed":false,"github":"https://github.com/matthieugomez/EconPDEs.jl","clone":"git clone https://github.com/matthieugomez/EconPDEs.jl.git","description":"Solve nonlinear PDEs arising from economic models","language":"Julia","stars":143,"topics":["pde","finite-difference-schemes","economics","finance"],"license":null,"category":"trading","readme_excerpt":"EconPDEs.jl EconPDEs.jl solves nonlinear ODEs and PDEs that arise in economic models, especially Hamilton-Jacobi-Bellman equations. You specify three things: (i) the state space, (ii) an initial guess for the solution, and (iii) a function that returns the PDE residual at each grid point. The package handles the rest — it builds the finite-difference derivatives, applies upwind stencils, assembles the sparse Jacobian, and solves the system by pseudo-transient Newton iteration. Use it for stationary or time-dependent HJBs on one or more state variables, with one or more value functions. EconPDEs.jl is robust, fast, and solves virtually all textbook continuous-time models; see the Examples for a list. Installation The package is registered in the Julia General registry: Current versions require Julia 1.10 or later. Quickstart Here is a small linear equation on one state, with a mean-reverting drift: pdesolve finds the stationary solution by embedding the equation in a time-dependent problem, solved backward in time from an initial guess until the time derivative is zero. Here is how to solve this equation using this package: Note that, in encoding the pde, we used the forward difference when the drift is positive, the backward one otherwise (upwinding). The same interface extends to multiple states... ... as well as multiple value functions (i.e., coupled PDES). Documentation Read the documentation for further details. The documentation also includes a gallery of runnable examp","default_branch":null,"files":null,"tree":[],"storefront":"/r/matthieugomez","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/matthieugomez/EconPDEs.jl/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}