Heterogeneous Agent Models in Continuous Time. Achdou, Y., Lasry, J.M, Lions, P., & Moll, B. 2013. ![Heterogeneous Agent Models in Continuous Time [pdf]](https://bibbase.org/img/filetypes/pdf.svg "pdf")
Paper abstract bibtex In continuous time, a wide class of heterogeneous agent mode ls can be conveniently solved as systems of partial differential equations. This pap er develops tools for the analysis and numerical solution of such systems. We illustr ate our approach by study- ing a general equilibrium model with incomplete markets and uninsured idiosyncratic labor income risk as in Aiyagari (1994), Bewley (1986) and Hu ggett (1993). We de- velop an efficient algorithm for computing both stationary an d time-varying equilibria, and obtain three theoretical results: a tight characteriza tion of the speed at which households hit the borrowing constraint, an intuitive char acterization of the equilib- rium interest rate in terms of the number of borrowing constr aint households, and a proof of existence of a stationary equilibrium.
@article{ achdou_heterogeneous_2013,
title = {Heterogeneous {Agent} {Models} in {Continuous} {Time}},
url = {http://www.princeton.edu/~moll/HACT.pdf},
abstract = {In continuous time, a wide class of heterogeneous agent mode
ls can be conveniently
solved as systems of partial differential equations. This pap
er develops tools for the
analysis and numerical solution of such systems. We illustr
ate our approach by study-
ing a general equilibrium model with incomplete markets and
uninsured idiosyncratic
labor income risk as in Aiyagari (1994), Bewley (1986) and Hu
ggett (1993). We de-
velop an efficient algorithm for computing both stationary an
d time-varying equilibria,
and obtain three theoretical results: a tight characteriza
tion of the speed at which
households hit the borrowing constraint, an intuitive char
acterization of the equilib-
rium interest rate in terms of the number of borrowing constr
aint households, and a
proof of existence of a stationary equilibrium.},
language = {en},
urldate = {2014-10-02},
author = {Achdou, Yves and Lasry, Jean-Michel and Lions, Pierre-Louis and Moll, Benjamin},
year = {2013},
keywords = {Préprint},
annote = {Lien de la source fiche : http://www.princeton.edu/{~}moll/HACT.pdf}
}
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