Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution

Yves Achdou; Qing Tang

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arXiv · 2603.07782

Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution

Yves Achdou·Qing Tang

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Abstract

We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of Hamilton-Jacobi-Bellman equations with state constraints and Fokker-Planck-Kolmogorov equations. We investigate the existence of solutions to the mean field game system and discuss some important qualitative features of the model.

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Yves Achdou, Qing Tang. 2026-03-08. Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution. https://arxiv.org/abs/2603.07782

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