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VERSION:2.0
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CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Andrew Lyasoff\, Boston University\n\n[in-person]\nOR\n\nJoin Z
oom Meeting: https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYy
NSt6UT09\nMeeting ID: 949 7361 9069\nPasscode: 925028\n\n\nSelf-Aware Trans
port of Economic Agents\n\n\nAbstract: The paper is concerned with the simu
ltaneous solution of a very large number of optimization problems. One nota
ble aspect of the models studied is that the structure of the optimization
problems involved is not given in the outset and is dynamically agreed upon
while a large number of optimizers work in an orchestra. Models of this ty
pe are instrumental in the domain of macroeconomics and have given rise to
the mathematical theory of mean field games. The paper demonstrates that an
alternative mathematical formulation may be needed and provides such formu
lation. The approach it develops was prompted by the surprising discovery t
hat the common strategy\, adopted in a large body of macroeconomic research
\, for producing time-invariant equilibrium in the classical Aiyagari-Bewle
y-Huggett model fails to achieve its objective in a widely cited benchmark
study\, with the implication that\, contrary to the common belief\, a centr
al problem in macroeconomics has been without an adequate solution\, save f
or special cases. It is shown that the intrinsic structure of what is known
in economics as "heterogeneous models" exhibits connections across time th
at existing mathematical techniques cannot capture. By expanding the approa
ch proposed by Dumas and Lyasoff (2012) the paper develops a novel mathemat
ical framework which\, among other things\, leads to numerically verifiable
equilibria in some widely researched\, yet still unsolved\, concrete insta
nces of heterogeneous models. It provides new insights about the channels t
hrough which the cross-sectional distribution of a large population of inte
racting agents gets transported through time and clarifies the scope of wha
t is commonly referred to as "the approximate aggregation conjecture" (only
the population mean matters) of Krusell and Smith (1998) -- still an open
problem in macroeconomics.
DTEND:20240212T230000Z
DTSTAMP:20241003T125528Z
DTSTART:20240212T220000Z
GEO:34.022409;-118.291027
LOCATION:Kaprielian Hall (KAP)\, 414
SEQUENCE:0
SUMMARY:Mathematical Finance Colloquium: Self-Aware Transport of Economic A
gents
UID:tag:localist.com\,2008:EventInstance_45578787421975
URL:https://calendar.usc.edu/event/mathematical_finance_colloquium_self-awa
re_transport_of_economic_agents
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