Calendar

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

Course Info

Instructor
Departments
As Taught In
Spring 2003
Level
Learning Resource Types
Lecture Notes
Problem Sets with Solutions