Methods for Solving and Analyzing Dynamic Models in the Face of Uncertainty and Cross-Sectional Heterogeneity

Description

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This workshop will bring together researchers to explore methods for solving and analyzing dynamic economic models in the face of uncertainty and cross-sectional heterogeneity. The program will feature economic model builders and researchers from applied mathematics with complementary interests. Participants will explore recent developments and applications of techniques designed to support the study of models with diverse economic agents that confront idiosyncratic and aggregate uncertainties. Workshop participants will consider the consequences of broad notions of uncertainty that push beyond the familiar risk specifications and will instead confront the so-called “deep uncertainties” that prevail in many applications.  

This workshop is being organized in collaboration with the Macro Finance Research Program.

Organizers

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F A
Fernando Alvarez University of Chicago
L P H
Lars Peter Hansen University of Chicago
T S
Takis Souganidis University of Chicago

Speakers

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A A
Adrien Auclert Stanford University
A B
Anmol Bhandari University of Minnesota
R H
Ruimeng Hu University of California, Santa Barbara (UCSB)
D L
Daniel Lacker Columbia Univeristy
P L
Pierre-Louis Lions College de France
N T
Nizar Touzi New York University (NYU)
T Z
Thaleia Zariphopoulou University of Texas, Austin

Schedule

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Thursday, March 7, 2024
9:00-9:55 CST
Optimal Stochastic Control, MFG with Partial Observaton

Speaker: Pierre-Louis Lions (College de France)

9:55-10:00 CST
Q&A
10:00-10:30 CST
Coffee Break
10:30-11:25 CST
Solving Mean-Field Games with Common Noise and Beyond: Exploring Further Application of Signatures

Speaker: Ruimeng Hu (University of California, Santa Barbara (UCSB))

11:25-11:30 CST
Q&A
11:30-12:30 CST
Lunch Break
12:30-13:25 CST
Decision Making Under Costly Information Acquisition

Speaker: Thaleia Zariphopoulou (University of Texas, Austin)

13:25-13:30 CST
Q&A
13:30-14:00 CST
Coffee Break
14:00-14:55 CST
Non-Asymptotic Perspectives on Mean Field Approximations and Stochastic Control

Speaker: Daniel Lacker (Columbia Univeristy)

14:55-15:30 CST
Q&A
15:30-16:30 CST
Social Hour
Friday, March 8, 2024
9:00-9:55 CST
A Perturbational Approach for Approximating Heterogeneous-Agent Models

Speaker: Anmol Bhandari (University of Minnesota)

9:55-10:00 CST
Q&A
10:00-10:30 CST
Coffee Break
10:30-11:25 CST
When Do Endogenous Portfolios Matter for HANK?

Speaker: Adrien Auclert (Stanford University)

11:25-11:30 CST
Q&A
11:30-12:30 CST
Lunch Break
12:30-13:25 CST
Viscosity Solutions for HJB Equations on the Process Space: Application to Mean Field Control with Common Noise

Speaker: Nizar Touzi (New York University (NYU))

13:25-13:30 CST
Q&A
13:30-14:00 CST
Coffee Break and End of Program

Registration

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IMSI is committed to making all of our programs and events inclusive and accessible. Contact to request accommodations.

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