QuoteOriginally posted by: AlanWell, backward in t from T is forward from [$]\tau \equiv T - t = 0[$]. Then, I would just halt some existing PDE solver at [$]\tau_D[$], apply the jump condition to yield a new 'initial condition', and re-start the solver at that point in time [$]\tau[$].This scheme seems fairly direct to me, and could be applied to any black-box PDE solver without knowing the detailed solver internals. Plus, it would work for any process solver -- say a euro-style Heston model solver, for example -- and regardless of how it did its time-stepping.One niggling issue is that the convection term has a delta function in it (it's infinite). And the jump must be explicitly introduced by the programmer, yes?Does NDSolve, for example, have the facility for defining 'jump points' in the marching scheme?
Last edited by Cuchulainn
on October 25th, 2015, 11:00 pm, edited 1 time in total.