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?
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
