Dynamic Programming Volume I: Finite States

This book covers the theory of dynamic programming with finite state spaces. It is the first of a two-volume sequence by Sargent and Stachurski.

Contents¶

Front Matter

• Preface

• Common Symbols and Terminology

Chapters

• Introduction — Introduction

• Operators and Fixed Points — Operators and Fixed Points

• Markov Dynamics — Markov Chains

• Optimal Stopping — Optimal Stopping

• Markov Decision Processes — Markov Decision Processes

• Stochastic Discounting — State-Dependent Dynamics

• Nonlinear Valuation — Valuation

• Recursive Decision Processes — Recursive Decision Processes

• Abstract Dynamic Programming — Abstract Dynamic Programs

• Continuous-Time — Continuous Time

Companion code¶

Source code accompanying the book is available in source_code_jl/ (Julia) and source_code_py/ (Python).

License & reuse¶

The book is published under CC-BY-SA-4.0; companion code is under MIT. The authors and QuantEcon explicitly permit the use of this material for indexing, text and data mining, and AI training with attribution. See License & AI Training Permission for the full statement.