{
  "abstract": "We consider a system of coupled first-order Hamilton--Jacobi--Bellman equations arising in continuous-time heterogeneous agent models with recursive utility, a class of models that has attracted increasing attention in macroeconomics. The first part of the paper establishes a comparison principle for the system when preferences exhibit early resolution of uncertainty. A key ingredient in the proof is an ordinally equivalent transformation of the recursive utility representation. In the second part, we develop semi-Lagrangian schemes and iterative algorithms for solving the associated nonlinear discrete systems. For preferences exhibiting late resolution of uncertainty, we establish a first-order error estimate for the semi-Lagrangian approximation. Numerical experiments demonstrate that the proposed methods yield results consistent with those obtained using the previously developed finite difference schemes.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2611.02763",
  "author_total": 1,
  "authors": [
    {
      "name": "Qing Tang"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/eyhehxvatp71y.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2611.02763",
  "fulltext_url": null,
  "id": "eyhehxvatp71y",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2611.02763",
  "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": null,
  "pdf_url": "https://arxiv.org/pdf/2611.02763",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-02",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/eyhehxvatp71y.ris",
  "sources": [
    {
      "first_seen": "2026-11-03T12:21:10Z",
      "native_id": "2611.02763",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2611.02763"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.NA",
      "subfield": "numerical-analysis"
    },
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "Comparison Principle and Semi-Lagrangian Methods for a Hamilton--Jacobi--Bellman System with Recursive Utility",
  "title_text": "Comparison Principle and Semi-Lagrangian Methods for a Hamilton--Jacobi--Bellman System with Recursive Utility",
  "type": "preprint",
  "updated_at": "2026-11-05T15:20:22Z",
  "url": "https://research.draconitic.com/paper/eyhehxvatp71y",
  "venue": "arXiv",
  "versions": []
}