Solving Heterogeneous agent models in Continuous Time with Adaptive Sparse Grids

Zaichuan Du

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes a new approach to numerically solving a wide class of heterogeneous agent models in continuous time using adaptive sparse grids. I combine the sparse finite difference method with the sparse finite volume method to solve the Hamilton-Jacobian-Bellman equation and Kolmogorov Forward equation, respectively. My algorithm automatically adapts grids and adds local resolutions in regions of the state space where both the value function and the distribution approximation errors remains large. I demonstrate the power of my approach in applications feature high-dimensional state spaces, occasionally binding constraints, lifecycle and overlapping generations.

Keywords: heterogeneous agent; mean field game; continuous time; adaptive sparse grids; occasionally binding constraints; overlapping generation; lifecycle (search for similar items in EconPapers)
JEL-codes: C61 C63 E21 (search for similar items in EconPapers)
Date: 2024-07-04
New Economics Papers: this item is included in nep-dge and nep-inv
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https://mpra.ub.uni-muenchen.de/124144/1/MPRA_paper_124144.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:121381

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