Y. Zhou

A Semi-Lagrangian Method for Solving State Constraint Mean Field Games in Macroeconomics

Abstract. We study continuous-time heterogeneous agent models cast as Mean Field Games, in the Aiyagari–Bewley–Huggett framework. The model couples a Hamilton–Jacobi–Bellman equation for individual optimization with a Fokker–Planck–Kolmogorov equation for the wealth distribution....