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

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

<p>"<strong><em>Markov Decision Processes: Discrete Stochastic Dynamic Programming</em></strong>" by Martin Puterman </p>

<p>If you want an Economics based book, </p>

<p>"<strong><em>Recursive Methods in Economic Dynamics</em></strong>" by  Nancy L. Stokey and Edward C. Prescott</p>

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

<p>"<strong><em>Competitive Markov Decision Processes</em></strong>" by Jerzy Filar and Koos Vrieze</p>

CC BY-SA 4.0
2019-04-11T20:56:50.347Z
2019-04-11T21:33:54.550Z
2019-04-11T21:33:54.550Z
S. Phil Kim
<p>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).</p>

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

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

<microeconomics><reference-request><game-theory><decision-theory><markov-chain>
Textbooks addressing Markov decision processes in microeconomics/game theory/decision theory?
user56834
# Textbooks addressing Markov decision processes in microeconomics/game theory/decision theory?

(Asked by: username_0 on 2018-12-18)

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?

**Tags:** microeconomics, reference-request, game-theory, decision-theory, markov-chain

---

## 1 answers

### Answer by username_1 on 2019-04-11. Score: 3

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


---

