Computing equilibria in infinite-horizon finance economies: The case of one asset

Kenneth L. Judd*, Felix Kubler, Karl Schmedders

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


We develop methods to compute equilibria in dynamic models with incomplete asset markets and heterogeneous agents. Using spline interpolation methods we approximate recursive trading policies of the agents and the equilibrium pricing functions. We explore various methods for determining the coefficients of these approximations, including time iteration methods and acceleration techniques. Exploring the optimization errors implied by the approximate equilibrium rules we examine the quality of our results. The results are very encouraging since we are able to compute approximate equilibria in a few minutes or less, attaining optimization errors on the order of one dollar per million dollars of wealth.

Original languageEnglish (US)
Pages (from-to)1047-1078
Number of pages32
JournalJournal of Economic Dynamics and Control
Issue number5-7
StatePublished - Jun 2000


  • C63
  • C68
  • D52
  • D58
  • Heterogeneous agents
  • Incomplete asset markets
  • Spline collocation method

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics


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