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

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  • 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])

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.

Suggested Citation

  • Yves Achdou & Qing Tang, 2026. "Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution," Working Papers hal-05558567, HAL.
    • Handle: RePEc:hal:wpaper:hal-05558567
    Note: View the original document on HAL open archive server: https://hal.science/hal-05558567v1
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