Equilibrium models with heterogeneous agents under rational expectations and its numerical solution

DOI10.1016/j.cnsns.2020.105673zbMath1459.91102OpenAlexW3115909495MaRDI QIDQ2656024

Yanyan Li

Publication date: 10 March 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2020.105673

zbMATH Keywords

heterogeneous agentscomplementarity problemsfinite differences methodseconomic equilibrium modelsaugmented Lagrangian active setHJB-KFP PDE system

Mathematics Subject Classification ID

General equilibrium theory (91B50) Heterogeneous agent models (91B69)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Augmented Lagrangian active set methods for obstacle problems
• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• PDE and martingale methods in option pricing.
• Mean field games
• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
• Partial differential equation models in macroeconomics
• Selection, Growth, and the Size Distribution of Firms
• Entry, Exit, and firm Dynamics in Long Run Equilibrium
• Elementary Stochastic Calculus, with Finance in View
• The Dynamics of Inequality
• Mean Field Games: Numerical Methods