This repository contains Matlab code for the solution of HJB equations and PDEs in non-divergence form by finite volume methods. It supports many example problems defined in:
setupNonvariationalPDE
setupEllipticHJB
setupEllipticVI
setupParabolicNVPDE
setupParabolicHJB
setupParabolicVI
The script solveProblem contains already many commented example problems and should serve as a good starting point for further experiments.
The scripts starting with diss_* contain the most recent experiments that where used to prepare the figures in my Dissertation.