A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty
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- Yuki SHIGETA, 2022. "Existence of Invariant Measure and Stationary Equilibrium in a Continuous-Time One-Asset Aiyagari Model:A Case of Regular Controls under Markov Chain Uncertainty," Discussion papers e-22-010, Graduate School of Economics , Kyoto University.
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More about this item
Keywords
Continuous-Time Utility Maximization; Borrowing Constraints; Hamilton–Jacobi–Bellman Equation; Viscosity Solution;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2022-11-21 (Dynamic General Equilibrium)
- NEP-UPT-2022-11-21 (Utility Models and Prospect Theory)
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