{"id":"https://openalex.org/W7165648256","doi":"https://doi.org/10.48550/arxiv.2606.23408","title":"Finite difference methods for a continuous-time heterogeneous agent model with recursive utility","display_name":"Finite difference methods for a continuous-time heterogeneous agent model with recursive utility","publication_year":2026,"publication_date":"2026-06-22","ids":{"openalex":"https://openalex.org/W7165648256","doi":"https://doi.org/10.48550/arxiv.2606.23408"},"language":"en","primary_location":{"id":"pmh:oai:HAL:hal-05666966v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05666966","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2026","raw_type":"info:eu-repo/semantics/preprint"},"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-05666966","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010896193","display_name":"Yves Achdou","orcid":"https://orcid.org/0000-0002-0514-3727"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Achdou, Yves","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5139211603","display_name":"Qing Tang","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tang, Qing","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.21610000729560852,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.21610000729560852,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10249","display_name":"Distributed Control Multi-Agent Systems","score":0.18979999423027039,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10462","display_name":"Reinforcement Learning in Robotics","score":0.09120000153779984,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.8378000259399414},{"id":"https://openalex.org/keywords/a-priori-and-a-posteriori","display_name":"A priori and a posteriori","score":0.6230999827384949},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.6080999970436096},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.5965999960899353},{"id":"https://openalex.org/keywords/preference","display_name":"Preference","score":0.5117999911308289},{"id":"https://openalex.org/keywords/iterative-method","display_name":"Iterative method","score":0.3901999890804291}],"concepts":[{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.8378000259399414},{"id":"https://openalex.org/C75553542","wikidata":"https://www.wikidata.org/wiki/Q178161","display_name":"A priori and a posteriori","level":2,"score":0.6230999827384949},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.6080999970436096},{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.5965999960899353},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5625},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5473999977111816},{"id":"https://openalex.org/C2781249084","wikidata":"https://www.wikidata.org/wiki/Q908656","display_name":"Preference","level":2,"score":0.5117999911308289},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4498000144958496},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4196999967098236},{"id":"https://openalex.org/C159694833","wikidata":"https://www.wikidata.org/wiki/Q2321565","display_name":"Iterative method","level":2,"score":0.3901999890804291},{"id":"https://openalex.org/C138268822","wikidata":"https://www.wikidata.org/wiki/Q1051925","display_name":"Resolution (logic)","level":2,"score":0.3813000023365021},{"id":"https://openalex.org/C12426560","wikidata":"https://www.wikidata.org/wiki/Q189569","display_name":"Basis (linear algebra)","level":2,"score":0.3301999866962433},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.3165000081062317},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.30730000138282776},{"id":"https://openalex.org/C181330731","wikidata":"https://www.wikidata.org/wiki/Q2068418","display_name":"Finite difference","level":2,"score":0.2791999876499176},{"id":"https://openalex.org/C41550386","wikidata":"https://www.wikidata.org/wiki/Q529909","display_name":"Multi-agent system","level":2,"score":0.25839999318122864},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.2574999928474426}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:HAL:hal-05666966v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05666966","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2026","raw_type":"info:eu-repo/semantics/preprint"},{"id":"doi:10.48550/arxiv.2606.23408","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2606.23408","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-05666966v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05666966","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2026","raw_type":"info:eu-repo/semantics/preprint"},"sustainable_development_goals":[{"display_name":"Reduced inequalities","score":0.6784995198249817,"id":"https://metadata.un.org/sdg/10"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0,62,70],"propose,":[1],"analyze":[2],"and":[3,28,52,101],"test":[4],"computational":[5],"methods":[6],"for":[7,46,56],"solving":[8],"a":[9,43,53,73,91],"continuous-time":[10],"heterogenous":[11],"agent":[12],"model":[13,22],"with":[14],"Epstein-Zin":[15],"utility.":[16],"Such":[17],"recursive":[18],"utilities":[19],"allow":[20],"the":[21,33,39,47,57,64,67,75,80,85,95,99],"to":[23,79],"disentangle":[24],"between":[25,94],"risk":[26],"aversion":[27],"intertemporal":[29],"substitution.":[30],"Having":[31],"discretized":[32,81,102],"Hamilton-Jacobi-Bellman":[34],"(HJB)":[35],"equation":[36],"arising":[37],"in":[38],"model,":[40],"we":[41,89],"propose":[42],"Howard-Newton":[44],"algorithm":[45,55],"late":[48,86],"resolution":[49,59,87],"preference":[50,60],"case,":[51,88],"Howard-Tarski-Kantorovich":[54],"early":[58],"case.":[61],"prove":[63],"convergence":[65],"of":[66,77,98],"iterative":[68],"algorithms.":[69],"obtain":[71],"as":[72],"consequence":[74],"existence":[76],"solutions":[78,97],"HJB":[82,103],"equations.":[83,104],"In":[84],"supply":[90],"priori":[92],"estimates":[93],"unique":[96],"continuous":[100]},"counts_by_year":[],"updated_date":"2026-07-01T06:00:48.157686","created_date":"2026-06-24T00:00:00"}