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10 - Dynamic Programming for Markov Processes

from Part II - Optimal Control in Discrete Time

Published online by Cambridge University Press:  27 May 2021

Tomas Björk
Tomas Björk
Affiliation:
Stockholm School of Economics
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Summary

This chapter is the start of a new part of the book, devoted to optimal control. The chapter consists of a self-contained course on dynamic programming in discrete time.

Keywords

dynamic programmingdiscrete timeBellman equation
Type
Chapter
Information
Point Processes and Jump Diffusions
An Introduction with Finance Applications
 , pp. 89 - 98
Publisher: Cambridge University Press
Print publication year: 2021

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