The household behavior modeling based on Mean Field Games approachстатья
Статья опубликована в журнале из списка RSCI Web of Science
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Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 25 августа 2021 г.
Аннотация:We present a modification of the Ramsey model that describes the consumer behavior of the households. We assume that the salary of the households is a stochastic process, defined by the stochastic differential equation (SDE). The impact of the large amount of the households can be modeled by a mean field term. This leads to a Kolmogorov–Fokker–Planck equation, evolving forward in time that describes the evolution of the probability density function of the households. Considering a Hamilton–Jacobi–Bellman equation, evolving backwards in time that describes the optimal strategy of the households behavior, we obtain a Mean Field Game problem. We present a self-similar solution of the Hamilton–Jacobi–Bellman equation and introduce the numerical solution of the Kolmogorov–Fokker–Planck equation.