{
  "abstract": "We propose, analyze and test computational methods for solving a continuous-time heterogenous agent model with Epstein-Zin utility. Such recursive utilities allow the model to disentangle between risk aversion and intertemporal substitution. Having discretized the Hamilton-Jacobi-Bellman (HJB) equation arising in the model, we propose a Howard-Newton algorithm for the late resolution preference case, and a Howard-Tarski-Kantorovich algorithm for the early resolution preference case. We prove the convergence of the iterative algorithms. We obtain as a consequence the existence of solutions to the discretized HJB equations. In the late resolution case, we supply a priori estimates between the unique solutions of the continuous and discretized HJB equations.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2606.23408",
  "author_total": 2,
  "authors": [
    {
      "name": "Yves Achdou"
    },
    {
      "name": "Qing Tang"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/dcmdegrqq23gs.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2606.23408",
  "fulltext_url": null,
  "id": "dcmdegrqq23gs",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2606.23408",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "cs.NA"
    ],
    [
      "arxiv",
      "math.NA"
    ],
    [
      "arxiv",
      "math.OC"
    ],
    [
      "openalex",
      "2002|Economic theories and models"
    ]
  ],
  "openalex": "W7165648256",
  "pdf_url": "https://arxiv.org/pdf/2606.23408",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-30",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/dcmdegrqq23gs.ris",
  "sources": [
    {
      "first_seen": "2026-11-02T12:21:20Z",
      "native_id": "2606.23408",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2606.23408"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.NA",
      "subfield": "numerical-analysis"
    },
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "Finite difference methods for a continuous-time heterogeneous agent model with recursive utility",
  "title_text": "Finite difference methods for a continuous-time heterogeneous agent model with recursive utility",
  "type": "preprint",
  "updated_at": "2026-11-04T15:20:51Z",
  "url": "https://research.draconitic.com/paper/dcmdegrqq23gs",
  "venue": "arXiv",
  "versions": []
}