Heterogeneous Agent Models in Continuous Time

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Skewed Wealth Distributions: Theory and Empirics (2018, background): “…dν rather than a Brownian motion.40 The wealth distribution of economies with stochastic returns has been studied in continuous time, for example by Benhabib and Zhu (2008); Achdou et al. (2014); Gabaix et al. (2016); Nirei and Aoki (2016); Benhabib, Bisin, and Zhu (2016), and Wälde (2016).”
Monetary Policy According to HANK (2018, unknown): “Finally, we solve the model in continuous time building on Achdou et al. (2014). In addition to imparting some notable computational advantages, continuous time provides a natural and parsimonious approach to modeling a leptokurtic earnings process: random (Poisson) arrival of normally distributed j”
When Inequality Matters for Macro and Macro Matters for Inequality (2018, unknown): “Achdou et al. (2015) show that if the finite difference approximation is chosen correctly, the discretized steady state is the solution to the following system of matrix equations:”
Mean field games with state constraints: from mild to pointwise solutions of the PDE system (2018, background): “ to several reasons: ﬁrst, in contrast with unconstrained problems, one cannot expect m(t) to be absolutely continuous with respect to the Lebesgue measure, in general. In fact, for Huggett’s model ( [2]) measure m always develops a singular part at the boundary of Ω. Moreover, solutions of Hamilton”