武大讲义-Dynamic_Optimization_II-1..doc

Systems of first-order differential equations 1. Definitions and autonomous systems In many economic problems the models reduce down to two or more systems of differential equations which require to be solved simultaneously. In general, a system of two ordinary first-order differential equations takes the form (1) 【Example 1】 (a) linear system of first-order differential equations, nonautonomous system, nonhomogeneous (b) linear system of first-order differential equations, autonomous system(the variable does not appear explicitly in the system of equations), homogeneous(there is no additional constant) (c) nonlinear system of first-order differential equations, autonomous system, homogeneous A solution to system (1) is a pair of parametric equations and which satisfy the system over some open interval. As with single differential equations, it is often necessary to impose initial conditions on system (1), which take the form and Our initial value problem is Economic models invariably involve both linear and nonlinear system of equations which are autonomous. 【Example 2】 Solution: , ()-plane: For any initial point there is only one trajectory through this point. 【Example 3】 Solution: , The trajectory depends on . ()-plane: () There is no longer a single trajectory in the -plane, but a whole series of trajectories, one for each point in time. The system is clearly time-dependent. Autonomous systems are time-independent. That means that the time derivatives are not changing over time (the transition functions are independent of time); however, the solution values for the dependent variables and will be functions of time. With autonomous systems there is only a single trajectory in the ()-plane which satisfies the initial conditions. With different initial conditions, there will be different trajectories in the ()-plane. 2. The phase plane, fixed points and s