Discretization
Matlab codes for discretizing non-Gaussian Markov processes, based on Farmer & Toda "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments", Quantitative Economics 8(2):651-683 (2017)
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discretization
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.
