This is a collection of codes that solve a number of heterogeneous agent models in continuous time using finite difference methods

1. Huggett Model (from Achdou et al., 2014): Explanation of Algorithm

HJB equation, explicit method (Section 1.1): HJB_stateconstraint_explicit.m

HJB equation, implicit method (Section 1.2): HJB_stateconstraint_implicit.m

KFE Equation (Section 2, using matrix from HJB implicit method): huggett_partialeq.m

Plotting the asset supply function (Section 3.1): huggett_asset_supply.m

Finding the equilibrium interest rate (Section 3.2): huggett_equilibrium_iterate.m

HJB equation with diffusion, implicit method (section 4.1): HJB_diffusion_implicit.m

KFE Equation (Section 4.2, using HJB matrix): huggett_diffusion_partialeq.m

Transition Dynamics (Section 5): huggett_transition.m, huggett_initial.m, huggett_terminal.m

2. Aiyagari Model (from Achdou et al., 2014): Explanation of Algorithm

Stationary Equilibrium (courtesy of Galo Nuno Barrau): aiyagari_diffusion_equilibrium.m

Transition Dynamics: aiyagari_diffusion_transition.m

Make movie of evolution of wealth distribution: make_movie.m

3. Model with Entrepreneurship and Financial Frictions: Description of Model and Algorithm

Stationary Equilibrium: entrepreneurs.m

4. Liquid and Illiquid Assets with Fixed Adjustment Costs: Description of Model and Algorithm

Partial Equilibrium: liquid_illiquid.m

5. Additional Codes: Explanation of Algorithm

No uncertainty, explicit method (Section 1.1): HJB_simple.m, HJB_no_uncertainty_explicit.m

No uncertainty, implicit method (Section 1.2): HJB_no_uncertainty_implicit.m

Neoclassical Growth Model (Section 2): HJB_NGM.m

Old codes for Huggett Model without using Matlab's sparse matrix routines (slower):