Dynamic Programming

Volume I: Finite States

Book Details

Book Description

This book is about dynamic programming and its applications in economics, finance, and adjacent fields. It brings together recent innovations in the theory of dynamic programming and provides applications and code that can help readers approach the research frontier. The book is aimed at graduate students and researchers, although most chapters are accessible to undergraduate students with solid quantitative backgrounds.

The book contains classical results on dynamic programming that are found in texts such as Bellman, Denardo, Puterman, and Stokey and Lucas, as well as extensions created by researchers and practitioners over the last few decades as they wrestled with how to formulate and solve dynamic models that can explain patterns observed in data. These extensions include recursive preferences, robust control, continuous-time models, and time varying-discount rates.Such settings often fail to satisfy contraction-mapping restrictions on which traditional methods are based. To accommodate these applications, the key theoretical chapters of this book adopt and extend the abstract framework of Bertsekas. This approach provides great generality while also offering transparent proofs.

This book is published as open-access, which means it is freely available to read, download, and share without restrictions.

If you enjoyed the book and would like to support the author, you can purchase a printed copy (hardcover or paperback) from official retailers.

Download and Read Links

PDF

Source Code

Share this Book