Finite difference methods for a continuous-time heterogeneous agent model with recursive utility

DOI10.48550/arXiv.2606.23408MaRDI QIDQ7269906arXivFDO

Authors Yves Achdou, Qing Tang

Publication date 22 June 2026

Published in arXiv

Tldr This paper proposes computational methods for solving continuous-time heterogeneous agent models with Epstein-Zin utility by discretizing the Hamilton-Jacobi-Bellman equation using finite difference techniques. The authors introduce Howard-based algorithms for distinct preference resolutions, proving convergence and existence while supplying a priori estimates between continuous and discretized solutions in the late case.

Full work available at URL https://doi.org/10.48550/arXiv.2606.23408

arXiv classification

math.NAmath.OC

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