14.451 | Fall 2009 | Graduate
Dynamic Optimization Methods with Applications

Lecture Notes

SES # TOPICS LECTURE NOTES
Discrete time: deterministic models
1-7

Vector spaces

The principle of optimality

Concavity and differentiability of the value function

Euler equations

Deterministic dynamics

Models with constant returns to scale

Nonstationary models

Lecture 1 (PDF)

Lecture 2 (PDF)

Lecture 3 (PDF)

Lecture 4 (PDF)

Lecture 5 (PDF)

Lecture 6 (PDF)

Lecture 7 (PDF)

Discrete time: stochastic models
8-9

Stochastic dynamic programming

Stochastic Euler equations

Stochastic dynamics

Lecture 8 (PDF)

Lecture 9 (PDF)

Continuous time
10-12

Calculus of variations

The maximum principle

Discounted infinite-horizon optimal control

Saddle-path stability

Lecture 10 (PDF)
Course Info
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Fall 2009
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