Dynamic Programming Volume I: Finite States

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Mathematics - Optimization. Operations Research
Dynamic Programming Volume I: Finite...

Dynamic Programming Volume I: Finite States

Thomas J. Sargent, John Stachurski

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This book is about dynamic programming and its applications in economics, finance, and adjacent fields like operations research. It brings together recent innovations in the theory of dynamic programming and also provides related applications and computer code.

Topics

Fixed points and order

Markov models

Optimal stopping

Markov decision processes

State dependent discounting

Nonlinear valuation

Abstract dynamic programming

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Mathematics - Optimization. Operations Research

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