Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution
Optimization and Control
2026-05-27 v3
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.
Keywords
Cite
@article{arxiv.2603.07782,
title = {Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution},
author = {Yves Achdou and Qing Tang},
journal= {arXiv preprint arXiv:2603.07782},
year = {2026}
}