武大讲义dynamicoptimizationii.docVIP

II Differential Equations II: Second-Order Equations and Systems in the Plane Understanding of mathematics cannot be transmitted by painless entertainment any more than education in music can be brought by the most brilliant journalism to those who have never listened intensively. Actual contact with the content of living mathematics is necessary. － Richard Courant(1941) Many economic models are based on differential equations in which second- or higher-order derivatives appear. For example, in an important area of dynamic optimization called the calculus of variations, the first-order condition for optimality involves a second-order differential equation. Introduction Second-order differential equations can usually be written in the form (1) where is a given fixed function, is the unknown function, and . A solution of (1) on an interval is a twice differentiable function that satisfies the equation. 【Example 1】Find all solutions of ( is a constant) Solution: Differential Equations Where or is Missing In two special cases the solution of equation (1) can be reduced to the solution of first-order equations. The two cases are (a) (b) (2) In case 2(a), is missing. We introduce the new variable . Then (a) becomes , which is a first-order equation. If we find the general solution of this first-order equation, then integrating will yield the general solution of (a). 【Example 2】Solve the equation . Solution: In case 2(b), is not explicitly present in the equation, and the equation is called autonomous. The equation cannot be solved explicitly, except in special cases. A standard trick which, in principle, can be used to solve equation 2(b), is to let be independent variable instead of . We have and moreover, Insert these expressions for and into , then simplifying, yields (3) In this equ