期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：This paper introduces the problem of a planner who wants to control a population of heterogeneous agents subject to idiosyncratic shocks. The agents di¤er 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 di¤erential equations that includes a generalization of the Hamilton-Jacobi-Bellman equation and the Kolmogorov forward equation.
关键词：Kolmogorov forward equation; calculus of variations; dynamic programming;heterogeneous agents.
