Deterministic and Stochastic Intertemporal Optimization

Required

• Neher, Chapters 5, 6, 7 and 9.
• Background on optimal control and dynamic programming. If you are rusty with these you should read some of the material below.

Optional

• Kamien and Schwartz, Part II, Sections 1 through 4 and 20. (The first four sections introduce optimal control; section 20 covers dynamic programming.)
• Conrad and Clark, Sections 1.2 through 1.5 (A condensed treatment of dynamic programming and optimal control. (The latter is also known as the maximum principle, which is the term used by Conrad and Clark.) Treatment is good but very compact.)
• Kreps, David M. (1990), A Course in Microeconomic Theory, Princeton: Princeton University Press, Appendix 2. (Covers dynamic programming.)