Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution

Yves Achdou and Qing Tang ()
Additional contact information
Yves Achdou: LJLL - Laboratoire Jacques-Louis Lions - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Qing Tang: CUG - China University of Geosciences [Wuhan]

Working Papers from HAL

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.

Keywords: heterogeneous agent models; mean field games; recursive utility; state constraints (search for similar items in EconPapers)
Date: 2026-03-18
Note: View the original document on HAL open archive server: https://hal.science/hal-05558567v1
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-05558567v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05558567

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().