Each topic is addressed in a week to a week and a half of course time. Readings are from the course text book:
[SLP] = Stokey, Nancy L., and Robert E. Lucas, Jr., with Edward C. Prescott. Recursive Methods in Economic Dynamics. Cambridge, MA: Harvard University Press, 1989.
| Topic # |
Topics |
Readings |
| 1 |
Preliminaries; Euler Equations and Transversality Conditions; Principle of Optimality |
Stokey, Lucas, and Prescott (SLP), chapters 3-4.1 |
| 2 |
Bounded Returns; Differentiability of Value Function; Homogenous and Unbounded Returns; Applications |
SLP, chapters 4-5 |
| 3 |
Deterministic Global and Local Dynamics |
SLP, chapter 6 |
| 4 |
Stochastic Dynamic Programming; Applications; Markov Chains |
SLP, chapters 9-11 |
| 5 |
Weak Convergence; Applications |
SLP, chapters 12-13 |
| 6 |
Repeated Games and Dynamic Contracts |
Abreu, Pearce, and Stachetti |
| 7 |
Continuous-Time Dynamic Programming and Hamilton-Jacobi-Bellman PDE Equations |
Fleming and Soner, chapter 1 |
