Work

Continuous-time heterogeneous agent models with recursive utility and preference for late resolution

Year: 2026

Type: article

Abstract: In this paper, 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.

Source: Mathematical Models and Methods in Applied Sciences

DOI: 10.1142/s0218202527500011

Authors: Yves Achdou, Qing Tang

Institutions: Centre National de la Recherche Scientifique, Université Paris Cité, Sorbonne Université, Laboratoire Jacques-Louis Lions, China University of Geosciences

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Agence Nationale de la Recherche, China Scholarship Council

Award: Mean Field Games