reinforcement learning approach to solving incomplete market models with aggregate uncertainty

• Andrei Jirnyi ^[1] ; Vadym Lepetyuk ^[2]
  1. [1] Northwestern University

     Northwestern University

     Township of Evanston, Estados Unidos

     
  2. [2] Universitat d'Alacant

     Universitat d'Alacant

     Alicante, España

     
• Localización: Working papers = Documentos de trabajo: Serie AD, Nº. 21, 2011, págs. 1-22
• Idioma: inglés
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• Resumen

  • We develop a method of solving heterogeneous agent models in which individual decisions depend on the entire cross-sectional distribution of individual state variables, such as incomplete market models with liquidity constraints. Our method is based on the principle of reinforcement learning, and does not require parametric assumptions on either the agents' information set, or on the functional form of the aggregate dynamics.