# Questions tagged [continuous-time]

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### Are there any sophisticated'' mathematical modelling where they solve for the utility function?

Are there any references in literature of any sophisticated'' mathematical modelling where they solve for the utility function under specific conditions using differential equations theory? In such ...
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### What is the intuition behind the different information structures from the static to the continuous time ones?

It is a difficult and challenging problem at the same time, to model the information structure in theoretical models of economics and finance. The information structure in most of the literature is ...
• 184
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### The definition of Poisson process

I find that in many economics model, many events are often called "Poisson process" even though they will only occur once, like the death of an agent or the exit of a firm or transition from ...
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### Relationship of continuous and discrete time models

I am trying to understand two comments from a colleague. I have no clue about continuous time models. He said something like "just replace $\delta$ with $e^{-rdt}$ the Poisson process becomes a ...
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### He, Krishnamurthy (2013)

How do you derive equation (10) on page 740 from He, Krishnamurthy (2013 AER)? They say that "Given the log objective function in equation (8), the risky asset household chooses $\alpha_t^h$ to solve ...
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### Finding optimal path in continuous time

I have the following optimal control problem $$\max_{c_t,l_t} \int_0^{\infty} [ln(c_t)+\theta ln(1-l_t)]e^{-pt}dt$$ st. $$\dot{k_t}=k_t^{1/2}l_t^{1/2}-c_t-\beta l_t$$ $$k_0>0$$ I do big part of ...
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1 vote
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### Continuous trading economies

Continuous trading economies. I see this expression in many papers but I do not know what it means in the precise technical sense. And I'm not an economist. Maybe it could refer to an economic ...
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### Stochastic growth in continuous time

Literature: See Chang (1988) for theoretical part and Achdou et al. (2015) for numerical part respectively. Model Consider the following stochastic optimal growth problem in per capita notation. \...
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### Intuition of the Kolmogorov Equations

So I understand the derivation of the Kolmogorov Forward and Backward Equations, but I don't quite understand the intuition. Here is from Stokey, 2008: "The backward equation involves time $t$ and ...
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