I’ll get those methods into HighDimPDE.jl. It’s actually a pretty trivial extension, since we don’t actually implement it via the Han style, their paper can be generalized as just solving a stochastic UDE, and similarly these two papers are also just a stochastic UDE at the end of the day. So solving them is just defining the SDE (which are all very similar) and then just running the standard optimization loop over it. I’m out of Claude hours but next week I’ll just set it on it and it’ll most likely just one shot it given the infrastructure that already exists.
But yes, all of these assume you write it in the HJB form. It would be nice to provide a different interface so that it’s written in the control form, and then auto-translates to the HJB, and then solves it like that. That probably would be done via a ModelingToolkit representation on top… we don’t have that piece all together but it would be a very cool addition to do.