reinforcement learning approach to solving incomplete market models with aggregate uncertainty
- Andrei Jirnyi 1
- Vadym Lepetyuk 2
- 1 Kellogg School of Management, Northwestern University
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2
Universitat d'Alacant
info
Année de publication: 2011
Número: 21
Pages: 1-22
Type: Working Paper
Résumé
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.