Optimal Control
This web application solves a
wide range nonlinear partial differential
equations of the deterministic or stochastic optimal control theory.
Hamilton Jacobi Bellman (HJB) equations associated with optimal control or
optimal stopping problems can be solved using this web application.
Various Linear and NonLinear Equations from Mathematical Finance can also be
solved with this application.
The Default method is the Implicit Finite Difference Method. One can also
use the Finite Element Method to solve these systems. Just select the preferred
method from the Tools submenu.
For Instance in order to solve a NonLinear Parabolic Equation on the interval
[A,B] from time t=s to t=T, we use the following template:
Click the enter button to fill in the coefficents and initial conditions and
the press the
solve button.
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