Solving a PDE which comes from an HJB in DifferentialEquations.jl

[ChrisRackauckas]

@jlperla

The other big thing is that the discretized operators can be used for solving optimal stopping problems, which ends up mapping into complementarity problems. For me in the medium-term, this is going to be very important. Check out https://ecommons.cornell.edu/handle/1813/5453 I am not sure how a DAE can work there, but it could be

Finally, for me I will need to get the diffeqoperators to support jump diffusions in the medium-term for a paper. I am hiring an RA who is very competent and may be able to work to add that kind of thing given some support. More later.

Yeah, I think finishing up the operators is the best short-term goal. A lot of people seem interested in them for many different purposes, and it would be a good service to get those done, stabilized, efficient, and benchmarked.