This repository contains Matlab code for the solution of Hamilton-Jacobi-Bellman (HJB) equations and partial differential equations (PDEs) in non-divergence form by finite difference methods.
It supports many example problems defined in the files named example_*_Problem.m, while the optimal controls in the case of HJB equations are defined in example_*_Control.m.
The script solveProblem contains already many commented example problems and should serve as a good starting point for further experiments.
The scripts solveProblem, those starting with experiment_* and those starting with diss_ contain the most recent experiments that where used to prepare the figures in my Dissertation.