Matlab codes for discretizing non-Gaussian Markov processes based on "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments", Quantitative Economics 8(2):651-683 (2017) https://doi.org/10.3982/QE737 by Leland E. Farmer & Alexis Akira Toda
Please read "discretization.pdf" for details.