Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models

DOI10.1007/S40314-025-03585-1MaRDI QIDQ6831790zbMATH OpenFDO

Authors Jonatan Ráfales, Carlos A. Vázquez

Publication date 2 April 2026

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40314-025-03585-1

zbMATH Keywords

economic equilibrium problemsheterogeneous agentsHJB-KFP coupled PIDEsjump-diffusion processesnumerical methodsobstacle problems

Mathematics Subject Classification ID

Numerical methods for variational inequalities and related problems (65K15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Heterogeneous agent models (91B69) Stochastic models in economics (91B70)

Cites work

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• scientific article; zbMATH DE number 3009276 (Why is no real title available?)
• IMEX schemes for pricing options under jump-diffusion models
• Implicit-explicit numerical schemes for jump-diffusion processes
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
• Jump-diffusion productivity models in equilibrium problems with heterogeneous agents
• Models and numerical methods for equilibrium problems with heterogeneous agents involving two productive sectors
• Option pricing when underlying stock returns are discontinuous
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• Selection, Growth, and the Size Distribution of Firms
• The dynamics of inequality

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