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 …
PublishedClassicPhilosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering SciencesOnline 13 Nov 2014Published Nov 2014
Written explicitly to get mathematicians interested in macroeconomics, this review collects the systems of coupled nonlinear partial differential equations that arise once a macro model tracks a whole …