1 / 126

Universidad de La Habana

Universidad de La Habana. Lectures 5 & 6 : Difference Equations Kurt Helmes. 22 nd September  - 2nd October , 2008. CONTENT. Part 1 : Introduction Part 2 : First-Order Difference Equations Part 3 : First-Order Linear Difference Equations. 1. Introduction. Part 1.1.

apendelton
Download Presentation

Universidad de La Habana

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. Universidad de La Habana Lectures 5 & 6 : Difference Equations Kurt Helmes 22nd September  - 2nd October,2008

  2. CONTENT Part 1: Introduction Part 2: First-Order Difference Equations Part 3: First-Order Linear Difference Equations

  3. 1 Introduction Difference Equations (Prof. Dr. K. Helmes)

  4. Part 1.1 An Example Difference Equations (Prof. Dr. K. Helmes)

  5. Example 1 (Part 1) cf. compound interest Dagobert- Example

  6. interest factor Starting Point: Given: K0 initial capital ( in Euro ) p interest rate ( in % ) r

  7. Objective: Find .... • 1. The amount of capital after 1 year. • 2. The amount of capital after 2 years. • n. The amount of capital after n years.

  8. Solution: After oneyear the amount of capital is: How much capital do we have after 2 years?

  9. Solution: After one year the amount of capital is: After twoyears the amount of capital is:

  10. Solution: After one year the amount of capital is: After twoyears the amount of capital is:

  11. Solution: After nyears the amount of capital is:

  12. The solution formula can be rewritten in the following way: is given, is given, Observation: special difference equation recursion formula

  13. Part 1.2 Difference Equations Difference Equations (Prof. Dr. K. Helmes)

  14. Illustration: A difference equation is a special system of equations, with • (countably) infinite many equations, • (countably) infinite many unknowns.

  15. Hint: The solution of a difference equation is a sequence (countably infinite many numbers).

  16. How do we recognize a difference equation?

  17. An equation, that relates for any the nthterm of a sequence to the (up to k)preceding terms, is called a (nonlinear) difference equation of order k. Definition: Difference Equation Explicit form: Implicit form:

  18. 2 First-Order Difference Equations Difference Equations (Prof. Dr. K. Helmes)

  19. Part 2.1 A Model for the„Hog Cycle“ Difference Equations (Prof. Dr. K. Helmes)

  20. Example 2 cf. Microeconomic Theory „Hog Cycle“ (Example)

  21. ratio 16 12 Avg 8 year Starting Point: Given: Hog-corn price ratio in Chicago in the period 1901-1935:

  22. price ratio time Starting Point: Stylized:

  23. Starting Point: • Find: • A (first) model, which „explains“ / describes the cyclical fluctuations of the prices (ratio of prices).

  24. in units at time in units at time in units at time in units at time Model (Part 1): Supply and Demand The suppply of hogs: The demand of hogs:

  25. The supply at time depends on the hog price at time . Model (Part 2): Supply and Price Assumption:

  26. i.e. it is determined by and , and p(t). is given Model (Part 2): Nature of the dependance Assumption: The supply function is linear:

  27. Figure 1:Graphical representation of the supply function

  28. parameter Model (Part 3): Demand and Price Assumption: For the demand we assume: If the hog price increases, the demand will decrease, thus:

  29. Figure 2:Graphical representation of the demand function

  30. for all Model (Part 4): Equilibrium Postulate: Supply equals demand at any time:

  31. Model (Part 4): Equilibrium The equilibrium relation yields a defining equation for the price function:

  32. is given Solution (Part 4): Equilibrium Thus we obtain the following difference equation:

  33. Model (Part 4): Equilibrium This difference equation is: • first-order • linear • inhomogeneous

  34. Model (Part 5): Analysis solution formula:

  35. Deriving the Solution Formula: ....

  36. a = : 1 e.g. b = 3 g = 2 d = 5 Iteration rule Figure 2:

  37. „stable“: The values converge to the equilibrium state when . Model (Part 5): Analysis Results: The equation / solution is stable. The equation / solution is unstable.

  38. 1 0,8 0,6 0,4 0,2 0 -0,2 -0,4 0 10 20 30 40 5 15 25 35 Figure 3:Price development for:

  39. 1 0,8 0,6 0,4 0,2 0 -0,2 -0,4 16 0 4 10 14 20 2 6 8 12 18 Figure 4:Price development for:

  40. 40 30 20 10 0 -10 -20 -30 0 10 20 30 40 5 15 25 35 Figure 5:Price development for:

  41. The term has an alternating sign, . Summary: The given difference equation has a unique solution; it can be solvedexplicitly. The price is the sum of a constant and a power function.

  42. CONCLUSION: We can model and analyze dynamic processeswith difference equations.

  43. Part 2.2 Definitions und Concepts for First-Order Difference Equations Multivariable Calculus: The Implicit Function Theorem (Prof. Dr. K. Helmes)

  44. Definition: A (general) first-order nonlinear difference equation has the form : (F is defined for all values of the variables.)

  45. Important Questions: • Does at least one solution exist? • Is there a unique solution? • How many solutions do exist? • How does the solution change, if „parameters“ of the system of equations are changed (sensitivity analysis)?

  46. Important Questions: • Do explicit formulae for the solution exist? • How do we calculate the solution? • Does the system of equations has a special structure ? e.g.: a) linear or nonlinear, b) one- or multidimensional ?

  47. ”fixed number”, Remark: If the initial value of the solution (sequence) of a difference equation is given, i.e. then we call our problem an ” initial value problem ” related to a first-orderdifference equation.

  48. If is an arbitrary fixed number, then there exists a uniquely determined function/sequence , that is a solution of the equation and has the given value for . Remark: The initial value problem of a first-order difference equation has a unique solution.

  49. In general there exists for each choice of a different (corresponding) unique solution sequence. Remark:

  50. For time homogeneous nonlinear difference equations we call points which satisfy the equation Definition: Invariant Points invariant points. F ”right-hand side”.

More Related