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    Linear Di Erential Equations With Constant Coe Cients

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    Madiha Khan
    This document summarizes the solutions to linear differential and difference equations with constant coefficients. It explains that the solution to a homogeneous differential equation is an exponential function, and the solution to an inhomogeneous equation can be found by a change of variables to transform it into a homogeneous equation. It also discusses the stability properties of the solutions based on the sign of the coefficient. Similarly, it provides the solutions to homogeneous and inhomogeneous linear difference equations and analyzes their stability.

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    Linear Di Erential Equations With Constant Coe Cients

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    Madiha Khan
    45 views4 pages
    This document summarizes the solutions to linear differential and difference equations with constant coefficients. It explains that the solution to a homogeneous differential equation is an exponential function, and the solution to an inhomogeneous equation can be found by a change of variables to transform it into a homogeneous equation. It also discusses the stability properties of the solutions based on the sign of the coefficient. Similarly, it provides the solutions to homogeneous and inhomogeneous linear difference equations and analyzes their stability.

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    Linear Differential Equations With Constant Coefficients

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    This document summarizes the solutions to linear differential and difference equations with constant coefficients. It explains that the solution to a homogeneous differential equation is an exponential function, and the solution to an inhomogeneous equation can be found by a change of variables to transform it into a homogeneous equation. It also discusses the stability properties of the solutions based on the sign of the coefficient. Similarly, it provides the solutions to homogeneous and inhomogeneous linear difference equations and analyzes their stability.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    45 views4 pages

    Linear Di Erential Equations With Constant Coe Cients

    Uploaded by

    Madiha Khan
    This document summarizes the solutions to linear differential and difference equations with constant coefficients. It explains that the solution to a homogeneous differential equation is an exponential function, and the solution to an inhomogeneous equation can be found by a change of variables to transform it into a homogeneous equation. It also discusses the stability properties of the solutions based on the sign of the coefficient. Similarly, it provides the solutions to homogeneous and inhomogeneous linear difference equations and analyzes their stability.

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    316-406 ADVANCED MACROECONOMIC TECHNIQUES NOTE 1b

    Chris Edmond hcpedmond@unimelb.edu.aui

    Linear dierential equations with constant coecients


    We will frequently want to solve a dierential equation of the form

    x t axt = b, t0

    given scalars a, b and an initial condition x0 .

    A. Homogenous equations
    If b = 0, we have the homogenous equation

    x t axt = 0, t0

    Introspection tells us that the solution is a function xt that grows or decays exponentially at rate a
    (growing if a > 0, decaying if a < 0). That is, we expect the solution to be

    xt = eat x0 , t0

    And dierentiating this with respect to time verifies that it is indeed the solution (there is only
    one). To see why this is the solution, write the problem as

    dxs
    = ads, s0
    xs

    and integrate both sides over the interval [0, t). This gives

    Z t Z t
    dxs
    log(xt ) log(x0 ) = = ads = at
    0 xs 0

    And rearranging gives


    xt = eat x0 , t0

    This solution diverges to (depending on the sign of x0 ) if a > 0 but instead decays to zero if
    a < 0. Put dierently, the dierential equation is unstable if a > 0 but stable if a < 0.

    1
    B. Inhomogenous equations
    Otherwise, if b 6= 0, we have to do a bit more work. The trick is to transform the inhomogenous
    equation into a homogenous equation by a change of variables. Denote by x
    that unique value of xt
    such that x t = 0. This is the steady state of xt . Clearly,

    b
    x
    =
    a

    which is well defined so long as a 6= 0. Now introduce a new variable

    yt xt x

    (i.e., the dierence between the actual and steady state value of xt ). Note that this change of
    variables implies

    yt = x t = axt + b

    = a(yt + x
    ) + b

    = ayt b + b

    = ayt

    So the new variable obeys a homogenous dierential equation and therefore has the solution

    yt = eat y0 , t0

    Plugging back in the definition yt xt x


    gives

    ) = eat (x0 x
    (xt x ), t0

    which is sometimes re-written

    xt = (1 eat )
    x + eat x0 , t0

    C. Stability
    The stability properties of this solution are easy. If a < 0, then eat 0 as t so that xt x

    irrespective of the value of the initial condition. That is, if a < 0, the steady state x
    is globally

    2
    stable. If a > 0, then eat + as t so that xt depending on the sign of x0 x
    ,
    i.e., depending on whether the variable starts above or below its steady state value. If the initial
    condition happens to be x0 = x
    , the system stays there irrespective of the value of a. Finally, if in
    fact a = 0, then we have the trivial dierential equation

    x t = b, t0

    with general solution


    xt = tb + x0 , t0

    Linear dierence equations


    Similarly, if we have the linear dierence equation

    xt+1 axt = b, t = 0, 1, 2, ...

    given scalars a, b and an initial condition x0 , then the homogenous solution (when b = 0) is

    xt = at x0 , t = 0, 1, 2, ...

    You can verify this by iterating as follows

    x1 = a1 x0

    x2 = a1 x1 = a2 x0
    ..
    .

    xt = a1 xt1 = at x0

    The general solution when b 6= 0 is

    ) = at (x0 x
    (xt x ), t = 0, 1, 2, ...

    or
    xt = (1 at )
    x + at x0 , t = 0, 1, 2, ...

    3
    But in the discrete time model, the steady state x
    is the solution to x
    a
    x = b or

    b
    x
    =
    1a

    which is well defined so long as a 6= 1. If a = 1, there is no steady state but we have the solution

    xt = tb + x0 , t = 0, 1, 2, ...

    In discrete time, stability properties are determined by whether |a| < 1 or not. If |a| < 1,
    then at 0 as t so that xt x
    irrespective of the value of the initial condition. If |a| > 1,
    then at as t , so the steady state is not stable. Notice that if a > 0, the motion of xt is
    monotonic but if a < 0, the motion of xt is oscillatory. Again, if the initial condition happens to be
    x0 = x
    , the system stays there irrespective of the value of a.
    Chris Edmond
    23 July 2004

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