2 papers
math.OC2026
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…
math.OC2025
A semi-Lagrangian method for solving state constraint Mean Field Games in Macroeconomics
Fabio Camilli, Qing Tang, Yong-shen Zhou
We study continuous-time heterogeneous agent models cast as Mean Field Games, in the Aiyagari-Bewley-Huggett framework. The model couples a Hamilton-Jacobi-Bellman equation for ind…