Mathematical Models and Methods in Applied Sciences· 2026Q1
Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution
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- Q1SCImago
- 2026year
Short summary
A new class of continuous-time heterogeneous agent models, incorporating recursive utility (Epstein-Zin) and a preference for late resolution of uncertainty, is formulated as a mean field game system.
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Key points
- Introduces continuous-time heterogeneous agent models with recursive utility (Epstein-Zin).
- Agents in the model exhibit a preference for late resolution of uncertainty.
- The model is formulated as a mean field game system.
- The system couples Hamilton-Jacobi-Bellman equations with state constraints and Fokker-Planck-Kolmogorov equations.
- Investigates the existence of solutions and qualitative features of the model.
AI-generated from the title and abstract; the full text is not read.
Abstract
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. The model leads to a system coupling a pair of Hamilton-Jacobi-Bellman equations with state constraints and Fokker-Planck-Kolmogorov equations. We investigate the existence of solutions to the mean field game system and discuss some important qualitative features of the model.
The authors' abstract, as published at the source. Mathematical Models and Methods in Applied Sciences, 2026 · DOI ↗
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Field: Management Science and Operations Research
Management Science and Operations ResearchDecision Sciences