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math.OC2024
Global Solutions to Master Equations for Continuous Time Heterogeneous Agent Macroeconomic Models
Zhouzhou Gu, Mathieu Laurière, Sebastian Merkel +1
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that…
math.OC2024★ 1 cited
Deep Backward and Galerkin Methods for the Finite State Master Equation
Asaf Cohen, Mathieu Laurière, Ethan Zell
This paper proposes and analyzes two neural network methods to solve the master equation for finite-state mean field games (MFGs). Solving MFGs provides approximate Nash equilibria…