I have learned about the Markov decision process (MDP) formalism in the context of machine learning. I know that micro theorists also study MDP's, and agent behaviour in this context (both single and multi-agent I think).

I am wondering if there is a good/standard textbook on MDP's from the perspective of micro theory (game theory/decision theory)?

If not, is there at least a micro theory textbook that heavily focuses on MDP's?


1 Answer 1


I guess you learned about MDP from Reinforcement Learning since RL tries to solve MDP without parameters.

For MDP without considering Microeconomics, (Indeed MDP is a decision-making process.)

"Markov Decision Processes: Discrete Stochastic Dynamic Programming" by Martin Puterman

If you want an Economics based book,

"Recursive Methods in Economic Dynamics" by Nancy L. Stokey and Edward C. Prescott

For multi-agent MDP, (there are not many books for this topic specifically although some Economics books mention the topic)

"Competitive Markov Decision Processes" by Jerzy Filar and Koos Vrieze


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