1
I am trying to numerically solve an ODE of the form:
rV = max(f(a)X + a V') + 1/2 sigma^2 V''
where the maximization is done over a. r and sigma are known parameters, so I'm just trying to find V(x). The maximization problem is such that I can't simply solve for a analytically and plug in that value.
Can MATLAB solve such a problem using ode45? The online documentation explains how to convert a second-order ODE into a system of first-order ODEs, but I'm not sure how to formulate the problem in this case.
Shffl
Posted 2017-03-06T01:02:49.750
Reputation: 11