Questions tagged [continuous-time]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
16
votes
3answers
1k views

Complete Markets in Continuous Time

In the standard discrete time economies with a finite number of states, $n$, a complete markets economy is simply an economy with $n$ independent assets (Think Ljunqvist and Sargent Chapter 8). This ...
13
votes
1answer
486 views

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. \...
7
votes
1answer
331 views

Compute evolution of a distribution over time

We have a population of people with different age $a$, time is indexed with $t$. There is a rate at which people die, $d(a, t)$. For simplicity, ignore births. I want to compute the evolution of the ...