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Dynamics of Heterogeneous Agents Models: The Mean Field Game Approach (ECO-AD-MEAFIEGMS)

ECO-AD-MEAFIEGMS

Purpose

Mean Field Games
This course will introduce students to Mean Field Games and present some application in macroeconomics. They are, essentially, dynamic games where the entire distribution the state of the system. In these games each decision maker solves a dynamic decision problem, typically subject to idiosyncratic shocks to its state. Additionally each decision maker payoff depends upon the entire current cross sectional distribution of states, whose evolution  she takes as given. This distribution evolves according to the optimal decision rules of the agents, thus an equilibrium of the game is a fixed point, making the distribution and decisions consistent with each other. As such, models featuring MFG are very common in many applications, specially so in macroeconomic problems with heterogenous agents, but they also appear in other areas. What is special about MFG is that applied math researchers have uncovered a structure that allows for its characterization and that it helps in its computation.   

Evaluation:
Students will be asked to hand in a problem set at the end of the course

Description

 
see above

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