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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.OC2026
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.…