5 papers
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.…
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…
Learning equilibria in Cournot mean field games of controls
Fabio Camilli, Mathieu Laurière, Qing Tang
We consider Cournot mean field games of controls, a model originally developed for the production of an exhaustible resource by a continuum of producers. We prove uniqueness of the…
On the quadratic convergence of Newton's method for Mean Field Games with non-separable Hamiltonian
Fabio Camilli, Qing Tang
We analyze asymptotic convergence properties of Newton's method for a class of evolutive Mean Field Games systems with non-separable Hamiltonian arising in mean field type models w…