武大讲义-DynamicOptimizationIV..doc

IV Difference Equations He (an economist) must study the present in the light of the past for the purpose of the future. － J. M. Keynes Many of the quantities economists study (such as income, consumption, and savings) are recorded at fixed time intervals (for example, each day, week, quarter, or year). Equations that relate such quantities at different discrete moments of time are called difference equations. For example, such an equation might relate the amount of national income in one period to the national income in one or more previous periods. In fact difference equations can be viewed as the discrete time counterparts of the differential equations in continuous time. 4.1 First-Order Difference Equations Let denote different discrete time periods or moments of time. We usually call the initial period. If is a function defined for , we often use to denote and in generally, we write for . A discrete dynamic system is a sequence of numbers, , that are defined recursively, i.e., there is a rule relating each number in the sequence to previous numbers in the sequence, we denote such a sequence {}. A first-order discrete dynamic system is a sequence of numbers for such that each number after the first is related to the previous number by the relationship The sequence of numbers given by the relationship is called a first-order difference equation. 【Example 1】 (i) (ii) Given the discrete dynamic system , then if is linear, the system is said to be linear; if is nonlinear then the system is said to be nonlinear. 【Example 2】 (i) (ii) (iii) (iv) Let be a function defined for all positive integers and all real numbers . A general discrete dynamic system or first-order difference equation in can usually be written in the form a recurrence relation (1) This is a first-order equation because it relates the value of a function in period to the value of the same function in the previous period only. 【Example