6 papers
Mastering Stochastic OLG Models in Continuous Time
Yves Achdou, Johannes Brumm, Lukas Frank
We propose a comprehensive framework for solving overlapping-generations (OLG) models in continuous time with both idiosyncratic and aggregate risk. Our general characterization of…
Finite difference methods for a continuous-time heterogeneous agent model with recursive utility
Yves Achdou, Qing Tang
We propose, analyze and test computational methods for solving a continuous-time heterogenous agent model with Epstein-Zin utility. Such recursive utilities allow the model to dise…
Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution
Yves Achdou, Qing Tang
We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty.…
Deterministic Mean Field Games on Networks and Related Optimal Control Problems
Yves Achdou, Claudio Marchi, Nicoletta Tchou
We study a class of deterministic mean field games and related optimal control problems, with a finite time horizon and in which the state space is a network. An agent controls her…
State Constrained Optimal Control Problems With Control On The Acceleration. Applications To Kinetic Mean Field Games
Yves Achdou
Relying on the careful study of a related problem in the calculus of variations, we study a class of optimal control problems in which the control lies on the acceleration, with st…
Homogenization of Hamilton-Jacobi equations with defects leading to stratified problems
Yves Achdou, Le Bris Claude
We study homogenization of a class of bidimensional stationary Hamilton-Jacobi equations where the Hamiltonian is obtained by perturbing near a half-line of the state space a Hamil…