DeepHAM represents the distribution of agents through a small set of algorithmically-learned "generalized moments" and uses deep neural networks trained on directly simulated paths to globally solve …
PublishedClassicReview of Economic StudiesOnline 6 Apr 2021Published Jan 2022
This paper recasts the Aiyagari-Bewley-Huggett incomplete-markets model in continuous time, showing it reduces to a coupled system of a Hamilton-Jacobi-Bellman equation and a Kolmogorov Forward …