Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154041
Authors: 
Nuño, Galo
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1608
Abstract: 
This paper introduces the problem of a planner who wants to control a population of heterogeneous agents subject to idiosyncratic shocks. The agents differ in their initial states and in the realization of the shocks. In continuous time, the distribution of states across agents is described by a Kolmogorov forward equation. The planner chooses the controls in order to maximize an optimality criterion subject to an .aggregate resource constraint. We demonstrate how the solution should satisfy a system of partial differential equations that includes a generalization of the Hamilton-Jacobi-Bellman equation and the Kolmogorov forward equation.
Subjects: 
calculus of variations
dynamic programming
heterogeneous agents
Kolmogorov forward equation
JEL: 
C6
D3
D5
E2
Document Type: 
Working Paper

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