Files
optimiz-rs/docs/source/_static/mathematical_foundations.pdf
T
ThotDjehuty b41618c627 docs(theory): enrich Section 4 optimal control with 4 worked examples
- Add HJB/PMP/HJBI comparison overview table
- Add Merton 1969 portfolio allocation example (log-utility, constant fraction)
- Add Almgren-Chriss inventory liquidation example (LQR + TWAP-like schedule)
- Add PMP costate derivation for Merton problem
- Add American option as viscosity example (variational inequality, smooth-pasting)
- Explain jump integral term intuition in HJBI
- Add shooting method pseudocode for PMP
- Mirror all enrichments in LaTeX .tex source
- Regenerate PDF (13 pages, cross-refs resolved)
2026-03-06 20:22:35 +01:00

75 KiB