Add NNKolmogorov and NNParamKolmogorov #83
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## main #83 +/- ##
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+ Coverage 61.97% 68.20% +6.22%
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Files 8 10 +2
Lines 647 758 +111
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+ Hits 401 517 +116
+ Misses 246 241 -5 ☔ View full report in Codecov by Sentry. |
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Needs #81 to go in first. |
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| ```math | ||
| \partial_t u(t,x) = \mu(t, x, γ_mu) \nabla_x u(t,x) + \frac{1}{2} \sigma^2(t, x, γ_sigma) \Delta_x u(t,x) | ||
| ``` | ||
| with initial condition given by `g(x, γ_phi)` |
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terminal condition? I'm not sure this really matches??
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From : https://arxiv.org/pdf/1806.00421.pdf
Incase of forward eqns it is the initial condition.
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Yes in forward equations it's an initial condition. But for backwards we have a terminal condition. How are the two separate cases being handled?
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Isn't in this case the conversion as simple as v(t,x) = u(T - t, x) for changing from fwd to backward. I found this:
I got this from here : https://jberner.info/data/Thesis_Berner.pdf
| ```math | ||
| \partial_t u(t,x) = \mu(t, x) \nabla_x u(t,x) + \frac{1}{2} \sigma^2(t, x) \Delta_x u(t,x) | ||
| ``` | ||
| with initial condition given by `g(x)` |
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