Systems of Difference Equations with Constant Coefficients

  • Phoebus J. Dhrymes


The reader will recall that the second-order difference equation
$${{a}_{0}}{{y}_{t}} + {{a}_{1}}{{y}_{{t + 1}}} + {{a}_{2}}{{y}_{{t + 2}}} = g(t + 2),$$
where y t is the scalar dependent variable, the a h i = 0,1,2, are the (constant) coefficients, and g(t) is the real-valued “forcing function,” is soived in two steps. First we consider the homogeneous part
$${{a}_{0}}{{y}_{t}} + {{a}_{1}}{{y}_{{t + 1}}} + {{a}_{2}}{{y}_{{t + 2}}} = 0,$$
and find the most general form of its solution, called the general solution to the homogeneous part. Then we find just one solution to the equation in (78), called the particular solution. The sum of the general solution to the homogeneous part and the particular solution is said to be the general solution to the equation. What is meant by the “general solution,” denoted, say, by yf*, is that y* satisfies (78) and that it can be made to satisfy any prespecified set of “initial conditions.” To appreciate this aspect rewrite (78) as
$${{y}_{{t + 2}}} = \bar{g}(t + 2) + {{\bar{a}}_{1}}{{y}_{{1 + 1}}} + {{\bar{a}}_{0}}{{y}_{t}},$$
where, assuming a 2 ≠ 0,
$$\bar{g}\left( {t + 2} \right) = \frac{1}{{{{a}_{2}}}}g\left( {t + 2} \right),\quad {{\bar{a}}_{1}} = \frac{{{{a}_{1}}}}{{{{a}_{2}}}},\quad {{\bar{a}}_{0}} = \frac{{{{a}_{0}}}}{{{{a}_{2}}}}.$$


General Solution Difference Equation Unit Circle Constant Coefficient Characteristic Root 
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Copyright information

© Springer Science+Business Media New York 1984

Authors and Affiliations

  • Phoebus J. Dhrymes
    • 1
  1. 1.Department of EconomicsColumbia UniversityNew YorkUSA

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