Stanford University, Advanced Macroeconomics, Economics 235
Guest Lectures: "Heterogeneous Agent Models in Continuous Time"

Lecture 1 (huge file with movies) , (smaller file without movies)

Lecture 2 (huge file with movies) , (smaller file without movies)

Website with codes for numerical solution (incomplete)

Princeton University, Advanced Macroeconomics I, Economics 521


Lecture 1: Overview, Hamiltonians and Phase Diagrams

Lecture 2: New Keynesian Model in Continuous Time

Lecture 3: Werning (2012) "Managing a Liquidity Trap"

Lecture 4: Hamilton-Jacobi-Bellman Equations, Stochastic Differential Equations

Lecture 5: Stochastic HJB Equations, Kolmogorov Forward Equations

Lecture 6: Income and Wealth Distribution

Lecture 7: Stopping Time Problems, Firm Size Distribution

Lecture 8: Gabaix (2011) "Granular Origins", More on Heterogeneous Firms

Lecture 9: Lucas and Moll (2012), "Knowledge Growth and the Allocation of Time", More on Endogenous Growth

Lecture 10: Alvarez and Shimer (2011), "Search and Rest Unemployment"

MATLAB Codes: HJB.m, HJB_implicit.m, Documentation for HJB_implicit.m, HJB_stochastic_reflecting.m

Part of these lecture notes are based on notes and/or presentation slides from Fernando Alvarez, Jess Benhabib, Xavier Gabaix, Esteban Rossi-Hansberg, and Ivan Werning. Thanks to these people.