SciML/HighDimPDE.jl

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HighDimPDE.jl HighDimPDE.jl is a Julia package to solve Highly Dimensional non-local, non-linear PDEs of the form $$ \begin{aligned} (\partial_t u)(t,x) &= \int_{\Omega} f\big(t,x,{\bf x}, u(t,x),u(t,{\bf x}), ( \nabla_x u )(t,x ),( \nabla_x u )(t,{\bf x} ) \big) d{\bf x} \\ & \quad + \big\langle \mu(t,x), ( \nabla_x u )( t,x ) \big\rangle + \tfrac{1}{2} \text{Trace} \big(\sigma(t,x) [ \sigma(t,x) ]^* ( \text{Hess}_x u)(t, x ) \big). \end{aligned} $$ where $u \colon [0,T] \times \Omega \to...