Textbooks
Required
[SLP] = Stokey, Nancy L., and Robert E. Lucas, Jr., with Edward C. Prescott. Recursive Methods in Economic Dynamics. Cambridge, MA: Harvard University Press, 1989. ISBN: 9780674750968.
[Acemoglu] = Acemoglu, Daron. Introduction to Modern Economic Growth. Princeton, NJ: Princeton University Press, 2008. ISBN: 9780691132921.
Recommended
Chiang, Alpha C. Elements of Dynamic Optimization. Long Grove, IL: Waveland Press, 1999. ISBN: 9781577660965.
Luenberger, David. Optimization by Vector Space Methods. New York, NY: Wiley-Interscience, 1997. ISBN: 9780471181170. First published in 1969 by John Wiley and Sons, Inc.
Kamien, Morton I., and Nancy L. Schwartz. Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management. 2nd ed. San Diego, CA: Elsevier, 1991. ISBN: 9780444016096.
Readings by Session
SES # | TOPICS | READINGS |
---|---|---|
1-7 | Discrete time: deterministic models |
Vector spaces[SLP] chapter 3. The principle of optimality[SLP] chapter 4.1 Concavity and differentiability of the value function[SLP] section 4.2. Euler equations[SLP] section 4.5 Deterministic dynamics[SLP] chapter 6. Models with constant returns to scale[SLP] section 4.3. Nonstationary models[Acemoglu] section 6.7. |
8-9 | Discrete time: stochastic models |
Stochastic dynamic programming[SLP] sections 9.1 to 9.2. Stochastic Euler equations[SLP] section 9.5. Stochastic dynamics[SLP] section 9.6, chapters 11 and 12. |
10-12 | Continuous time |
Calculus of variations[Acemoglu] section 7.1. The maximum principle[Acemoglu] sections 7.2 to 7.3. Discounted infinite-horizon optimal control[Acemoglu] section 7.5. Saddle-path stability[Acemoglu] section 7.8. |