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20182026
most citedDeep Backward and Galerkin Methods for the Finite State Master Equation

1 citations · 1 across the 7 of their papers we have counts for

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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…