ap-browning / persisters

Supplementary code for "Persistence as an optimal hedging strategy"

persisters

Supplementary code for the preprint "Persistence as an optimal hedging strategy" available on bioRxiv

Code

Requirements

• MATLAB

Files

• The file Persisters.m is a script run to produce results in the main document. To reproduce results in the main document, only this file needs to be modified.
  • To switch environment, modify line 22. For example, Env = Envs{3} corresponds to environment 3, the Poisson environment.
• The file Parameters.m stores non-environment specific parameters.
• The file StateEquations.m stores non-environment specific state equations (namely, the state equations for n and theta).
• The Environments directory contains environment specific code for each of the following environments:
  1. Constant (Env_1_Constant.m)
  2. Monod (Env_2_Monod.m)
  3. Poisson (Env_3_Poisson.m)
  4. Ornstein-Uhlenbeck (Env_4_OrnsteinUhlenbeck.m) (results in supporting material only)
  5. Duffing (Env_5_Duffing.m) (results in supporting material only)
• The Environment directory also contains the file EnvironmentSeed.m which is called to return the random number generator (RNG) seed used to reproduce results in the paper.
• The HJB directory contains code used to solve the HJB PDE for the persister problem.
  • The file HJB_Persisters.m is called to solve the PDE
  • The file HJB_Forward_Persisters.m is called to solve the SDE forward, coupling the control to the solution of the PDE
  • The file HJB_CreateGrid.m is called to create the spatial mesh
  • The file BoundaryExtension.m is called to approximate derivatives on the boundary through linear interpolation.
  • Details on the solution technique, including the boundary approximation method, are provided in the supporting material document.