Toma de decisiones de agentes racionales con procesos Markovianos: Avances recientes en economía y finanzas

This research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more realistic dynamics of various economic and financial variables. In particular, the paper highlights several extensions and reformulations of Markov decision processes, stochastic games, stochastic optimal control with diffusion processes, Blackwell optimality for controlled diffusion processes, stochastic optimal control processes with diffusion processes and its combination with Poisson jumps; time series models with Markov chains, and Bayesian networks with Markov chains in conjuntion with Monte Carlo simulation (MCMC).