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

• Common Abbreviations

Chapters

• Introduction

• Operators and Fixed Points

• Markov Dynamics

• Optimal Stopping

• Markov Decision Processes

• Stochastic Discounting

• Nonlinear Valuation

• Recursive Decision Processes

• Abstract Dynamic Programming

• Continuous-Time

How to cite¶

Please cite the Cambridge University Press editions, including when working from the free PDFs or online editions.

Sargent, Thomas J. and John Stachurski (2025). Dynamic Programming: Finite States. Cambridge University Press. doi:10.1017/9781009540780

@book{sargent_stachurski_2025,
  author    = {Sargent, Thomas J. and Stachurski, John},
  title     = {Dynamic Programming: Finite States},
  publisher = {Cambridge University Press},
  address   = {Cambridge},
  year      = {2025},
  doi       = {10.1017/9781009540780}
}

Download dp1.bib, or dp.bib for both volumes. Volume II, Dynamic Programming: General States, is forthcoming from Cambridge University Press in 2027; its entry is at dp.quantecon.org.

Companion code¶

Source code accompanying the book is available in code/jl/ (Julia) and code/py/ (Python) of the books’ public repository.

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.