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**Cristian Necul¼ aescu
**

(Cristian Necul¼ aescu) Academy of Economic Studies, room 2625, Calea Doroban¸ Ti nr.

11-13, sector 1, Bucure¸ Sti, România

E-mail address, Cristian Necul¼ aescu: math.fabiz.b.09.10@gmail.com

Dedicated to the memory of my Teachers and Professors: Dan Jebeleanu, Gheorghe Pântea, Aristide Halanay and ¸ Stefan

Miric¼a.

Contents

Part 1. Calculus 1

Chapter 1. In…nite series 3

1.1. Introduction 3

1.2. Special cases 6

1.3. Convergence Tests for positive series 9

1.4. Convergence tests for general series 11

1.5. Convergence tests for alternating series 12

1.6. Some formulas and exercises 12

1.7. A Macroeconomical Example 12

1.8. Power Series 13

1.9. Taylor’s expansions 14

Chapter 2. Functions of several variables (2 lectures) 17

2.1. Introduction 17

2.2. Continuity 19

2.3. Derivatives 21

2.4. Higher order derivatives 22

2.5. Applications in Economics 23

2.6. The implicit function theorem 29

2.7. Taylor Polynomials 31

2.8. Extreme points 33

2.9. Unconstrained Local Optimization 34

2.10. Constrained Optimization 39

2.11. Functions of several variables. Limit, continuity, partial derivatives, di¤erentiability and

di¤erential. Extremes. 42

2.12. Unconstrained optimization. Approximating functions by Least Square Method. 43

Chapter 3. Ordinary di¤erential equations (1/2 lecture) 47

Chapter 4. Finite di¤erence equations (1/2 lecture) 53

Chapter 5. Improper integrals. Euler functions: Gama, Beta 55

Chapter 6. Applications of Calculus to economic modelling 57

Part 2. Probabilities (7 lectures) 59

Chapter 7. Events. Probability: classic and axiomatic de…nition. Field of events. Properties of

probability. 61

iii

iv Cristian Necul¼ aescu

Chapter 8. Conditional probability. Probability of a union/intersection of events. Total probability

formula. Bayes formulas. Classical probability schemes. 63

Chapter 9. De…nition of a random variable. Operations with random variables. Examples on the

discrete case. Cumulative distribution function: de…nition, properties. Functions of

random variables. 65

Chapter 10. Continuous random variables. Probability density function: de…nition, properties. 67

Chapter 11. Moments of random variables. Expectation and variance. Properties. Chebyshev

inequality. 69

Chapter 12. Discrete bivariate random variables: marginal distributions, moments, conditional

distributions, covariance, correlation. 71

Chapter 13. Discrete and classical distributions. Applications of probability theory to economic

modelling. 73

Chapter 14. Convexity 75

Appendix A. * High School Revision 77

A.1. Sets 77

A.2. Usual Number Sets. Countability 80

A.3. Minorants, majorants 83

A.4. Relations 84

A.5. Functions 85

A.6. Binary Logic 89

A.7. Database applications for Logic, Sets, Relations and functions 92

A.8. Sequences 94

A.9. Symbols 99

Appendix B. Topology 101

Appendix C. Functions of one variable 105

Appendix. Bibliography 107

Part 1

Calculus

CHAPTER 1

In…nite series

"Divergent series are the invention of the devil,

and it is shameful to base on them

any demonstration whatsoever." Abel, 1828

The starting point for the main body of these Lecture Notes is the level of knowledge given in Mathe-

matics by "High School graduate, with the maximum concentration on Mathematics". Broadly speaking,

this means all "Precalculus", "Geometry and Trigonometry", "Analytic Geometry", "Linear Algebra –

linear systems, matrices, determinants", "Abstract Algebra – groups, …elds, rings", "Calculus – limits,

continuity, derivability, graphs of functions", "Calculus – elementary integrals". In the Appendix it may

be found a brief review of some of these topics; still, you may …nd useful to keep close appropriate high–

school texts. During the lectures and seminars, each of you is welcomed to ask questions and to comment.

As Murphy says, "Science advances when the student asks and the teacher doesn’t know the answer".

1.1. Introduction

Consider a sequence of real numbers denoted (c

n

)

n2N

.

1.1.1. De…nition (Formal). The symbol

1

¸

n=1

c

n

Def

= c

1

+ c

2

+ + c

n

+ is called "series" or "real

series" or "real in…nite series";

the number c

n

is called "the [general] term of the series";

the number o

n

de…ned by o

n

= c

1

+ c

2

+ c

3

+ + c

n

=

n

¸

k=1

c

k is called "the :

th

order partial sum

of the series";

the sequence (o

n

)

n2N

**is called "the sequence of partial sums of the series".
**

1.1.2. De…nition (Informal). A series is an "in…nite summation" or (more precise) a "discrete in…nite

summation" or a "countable in…nite summation".

1.1.3. Remark. Series as an abstract mathematical model may be found in "Macroeconomics" rep-

resenting "discrete dynamics" or "inde…nite discrete …nancial ‡ows"; a typical situation describes the

(expected) present value of a future accumulation process in which the accumulation will take place at an

inde…nite number of future moments (e.g. dividends, insurance). The detailed study of these situations

is beyond the purpose of the present text – the interested reader may consult titles like [12] or [13]. You

may see at the end of this chapter a little Macroeconomic model.

1.1.4. Example. A series:

1

¸

n=0

3

2

n

5

n

; The sign "

¸

" comes from the capital greek letter "sigma".

The general term: c

n

= 3

2

n

5

n

.

3

4

!!! Pay attention at the …rst term (which is not always 0 or 1), located at the bottom of the summation

symbol:

1

¸

n= !!!

…rst term

c

n

The sequence of partial sums of the series: o

n

=

n

¸

k=0

c

k

=

n

¸

k=0

3

2

k

5

k

; in this particular case we may

obtain an explicit form for o

n

:

n

¸

k=0

3

2

k

5

k

= 3

n

¸

k=0

2

5

k

= 3

1 ÷

2

5

n+1

1 ÷

2

5

= 5

¸

1 ÷

2

5

n+1

¸

= o

n

.

It may be seen that ¬ lim

n!1

o

n

= 5.

1.1.5. Remark. Between the sequences (c

n

)

n2N

and (o

n

)

n2N

there are certain recurrence relations:

o

n+1

= o

n

+ c

n+1

(or c

n+1

= o

n+1

÷o

n

), \: ÷ N

.

1.1.6. De…nition (convergence/divergence). The symbol

1

¸

n=1

c

n

is called "convergent" (we say "it

converges") if the sequence (o

n

)

n2N

is convergent (converges); only in this case is the value o = lim

n!1

o

n

called "the sum of the series";

the sequence (o

n

÷o)

n2N

(the di¤erence between the partial sum and the sum) is "the remainder

sequence" and it vanishes (it tends toward 0);

1

¸

n=1

c

n

is divergent (diverges) if (o

n

)

n2N

is divergent (diverges).

1.1.7. Example. For the previous example, since lim

n!1

o

n

= 5 we conclude that the series

1

¸

n=0

3

2

n

5

n

**converges and the sum is 5 (the value of the limit). We write
**

1

¸

n=0

3

2

n

5

n

= 5.

1.1.8. Theorem. [Divergence test]

lim

n!1

c

n

= 0 =

¸

n2N

c

n

diverges.

IF the general term does not tend towards zero,

THEN the series diverges.

Proof. By contradiction: the statement (c

n

÷ 0 =

¸

n2N

c

n

diverges) is logically equivalent with the

statement (

¸

n2N

c

n

converges =c

n

÷0).

¸

n2N

c

n

converges

from de…nition

= ¬o = lim

n!1

o

n

= c

n

= o

n

÷o

n1

÷

n!1

o ÷o = 0.

The behavior of a series (convergent or divergent) is a qualitative information, called "the nature

of the series". When convergent we may also talk about the sum of the series, which is quantitative

information [conditioned by the qualitative information]. A di¤erence between the two types of information

(quantitative and qualitative) is that usually the algorithms embedded in software products are built upon

the claim that the qualitative part is satis…ed – and so the usage of some software products for situations

where the qualitative part is not satis…ed may lead to unexpected results. As a general rule, it is advisable

to separate the qualitative and quantitative studies.

5

1.1.9. Remark. There are some signi…cant di¤erences between …nite and in…nite addition (summation);

some of them:

(1) While …nite addition always exist, this is not the case with in…nite addition.

(2) While …nite addition is commutative, the rearrangement of the terms of an in…nite addition may

alter both the qualitative and the quantitative results.

(3) While …nite addition is asociative, careless grouping and regrouping of the terms of an in…nite

addition is false and may lead to unexpected results.

1.1.10. Example. Consider

1

¸

n=0

(÷1)

n

. The series diverges because the general term doesn’t tend

towards zero. Still the following false line of reasoning "…nds the sum of the series":

o = 1 ÷1 + 1 ÷1 + 1 ÷1 + 1 + =

o ÷1 = ÷1 + 1 ÷1 + 1 + =

o ÷1 = ÷(1 ÷1 + 1 ÷1 + 1 + ) = ÷o =

= 2o = 1 =o =

1

2

.

The "result" is false and the unique mistake is "the notation" o =

1

¸

n=0

(÷1)

n

which implicitly and falsely

assumes that a number o exists and is equal with the abstract symbol

1

¸

n=0

(÷1)

n

.

1.1.11. Remark. Given a series, the inclusion/exclusion of a …nite number of terms doesn’t change the

nature of the series [Because a …nite number of additions/substractions does not modify the existence of

a limit] [the series

¸

n2N

c

n

and

¸

n2Nnf0;1; ;kg

c

n

have the same nature]. Still, it may change the value of the

sum, when it exists.

1.1.12. Remark. While …nite addition is associative, in…nite addition is not always associative. This

means that in…nite grouping of the added objects sometimes changes the nature of the in…nite summation.

Example: "0 = 1". False line of reasoning:

1 = 1 + 0 + 0 + + 0 + =

= 1 + (÷1 + 1) + (÷1 + 1) + (÷1 + 1) + =

= (1 ÷1) + (1 ÷1) + + (1 ÷1) + =

= 0.

[The line of reasoning again makes the (hidden) false assumption that there is a number o equal to the

abstract symbol

1

¸

n=0

(÷1)

n

and falsely assumes that rearrangements are true for divergent series]

1.1.13. Remark. When convergent, the sum of a series is unique [because the limit of a sequence is

unique].

1.1.14. Remark (Algebraic operations with series, Thms. 3.47, 3.50, 3.51 [14]). When the series

¸

n2N

c

n

and

¸

n2N

/

n

are both convergent and c ÷ R, the series

¸

n2N

(c

n

+ /

n

) and

¸

n2N

(cc

n

) are also convergent and

6

moreover, the following relations between the sums of series are valid:

¸

n2N

(c

n

+ /

n

) =

¸

n2N

c

n

+

¸

n2N

/

n

.

¸

n2N

(cc

n

) = c

¸

n2N

c

n

.

1.1.15. Remark. In this result, the qualitative part is: "

¸

n2N

c

n

and

¸

n2N

/

n

are both convergent =

¸

n2N

(c

n

+ /

n

) and

¸

n2N

(cc

n

) are also convergent" while the quantitative part is:

¸

n2N

(c

n

+ /

n

) =

¸

n2N

c

n

+

¸

n2N

/

n

.

¸

n2N

(cc

n

) = c

¸

n2N

c

n

.

1.1.16. Remark. The proof is based on translating the convergences in terms of "–de…nitions".

1.2. Special cases

1.2.1. Arithmetic sequence (arithmetic progression). is a sequence of numbers so that the

di¤erence between any two consecutive terms is constant (and is called "common di¤erence") (Alternative

characterization: For any three consecutive terms, the middle term is the arithmetic mean of boundary

terms)

c

n

= c

1

+ (: ÷1) d,

Arithmetic series:

n

¸

k=1

c

k

=

n

¸

k=1

(c

1

+ (/ ÷1) d) = :c

1

+

:(: ÷1)

2

d

[Used in …nance, simple interest formulas]

1.2.2. Geometric sequence (geometric progression). is a sequence of numbers such that the

ratio between two consecutive terms is constant (Alternative characterization: For any three consecutive

terms, the middle term is the geometric mean of the extreme terms).

c

n

= c

1

:

n1

, : = 1.

Geometric Series:

n

¸

k=1

c

k

=

n

¸

k=1

c

1

:

k1

= c

1

1 ÷:

n

1 ÷:

.

¸

n2N

c

n

=

convergent, c ÷ (÷1. 1)

divergent, c ÷ R` (÷1. 1)

In fact o

n

= 1 + c + c

2

+ c

3

+ + c

n

=

1 ÷c

n+1

1 ÷c

. c = 1

:. c = 1.

So lim

n!1

o

n

=

1

1 ÷c

. c ÷ (÷1. 1)

does not exist or in…nite in rest.

[Used in Finance, compounded interest formulas]

1.2.3. Harmonic sequence (harmonic progression). is a sequence of numbers such that the

sequence of reciprocals is an arithmetic sequence:

c

n

=

1

c

1

+ (: ÷1) d

(such that any denominator is nonzero)

Harmonic series:

7

n

¸

k=1

c

k

=

n

¸

k=1

1

c

1

+ (/ ÷1) d

(no elementary formula available)

Interpretation: Given : (ordered) observations for a certain measurement (such that the observations

are comparable), say that an observation is a "record" if it is the greatest of all (up to it). Then the

expected number of records is 1 +

1

2

+

1

3

+ +

1

:

.

1.2.4. The number c. c =

1

¸

n=0

1

:!

1.2.1. Theorem (Thm. 3.31, [14]). lim

n!1

1 +

1

:

n

= c.

1.2.2. Theorem (Thm. 3.32, [14]). The number c is irrational.

1.2.3. Example (Achille and the Turtle (Zenon paradox); also see Section 1.3 [3]). Achilles (A) and

the Turtle (T) race together. It is assumed that Achilles’ speed is much bigger than the Turtle’s speed, so

common sense tells that even if Achille gives the Turtle an initial advantage, he will still win the race.

The following line of reasoning has been known since Ancient Greece as the "Zenon paradox":

Denote A’s speed ·

A

and T’s speed ·

T

(with ·

A

·

T

). Consider the advance given by A in the form of

distance o

0

. A starts the race only when T covers o

0

. Then A starts and until he also covers o

0

T already

covers another distance called o

1

. In the time needed by A to cover the new distance o

1

, T covers a new

distance o

2

, and so on. "Common sense" says that the distances o

n

even if they are increasingly smaller,

they are always strictly positive. This is interpreted in the following manner: "Achilles will never outrun

the Turtle, because the Turtle will always have a strictly positive distance in advance".

T’s total advantage is (the geometric series):

1

¸

n=0

o

0

·

T

·

A

n

= lim

n!1

o

0

1 ÷

·

T

·

A

n+1

1 ÷

·

T

·

A

=

o

0

·

A

·

A

÷·

T

[Al-

though the Turtle’s total advantage is an in…nite sum of strictly positive distances, the total value of the

sum is …nite]

The time Achille needs to cover this distance is

o

0

·

A

÷·

T

which is equal with (the geometric series)

1

¸

n=0

o

0

·

A

·

T

·

A

n

.

8

1.2.4. Example (Telescoping/collapsing series). Consider the series

1

¸

n=1

1

:(: + 1)

. It is convergent and

is a "telescopic series" in the sense that the sum may be calculated "elementary", by successive cancellation:

1

/ (/ + 1)

=

1

/

÷

1

/ + 1

. so that

n

¸

k=1

1

/ (/ + 1)

=

n

¸

k=1

1

/

÷

1

/ + 1

=

=

1

1

÷

1

2

=

+

1

2

=

÷

1

3

=

+

+

=

=

+

+

1

:

=

÷

1

: + 1

= 1 ÷

1

: + 1

=o

n

= 1 ÷

1

: + 1

.

=¬ lim

n!1

o

n

(so the series is convergent)

and lim

n!1

o

n

= 1 (so the sum is 1)

CAUTION: The sum

n

¸

k=1

1

/

÷

1

/ + 1

**has a …nite number of terms so it is not wrong to write
**

n

¸

k=1

1

/

÷

n

¸

k=1

1

/ + 1

.On the contrary, in the situation

1

¸

n=1

1

:

÷

1

: + 1

**, because of the in…nite number of terms, it
**

is wrong to write

1

¸

n=1

1

:

÷

1

¸

n=1

1

: + 1

; both series are divergent so that actually we have:

1

¸

n=1

1

:

÷

1

: + 1

" = "

1

¸

n=1

1

:

÷

1

¸

n=1

1

: + 1

== 1" = "·÷·.

1.2.5. Example.

1

¸

n=1

: + 2 ÷2

: + 1 +

:

1

¸

n=1

: + 2 ÷2

: + 1 +

:

=

=

1

¸

n=1

: + 2 ÷

: + 1 +

: ÷

: + 1

=

= lim

n!1

n

¸

k=1

/ + 2 ÷

/ + 1 +

/ ÷

/ + 1

=

= lim

n!1

: + 2 ÷

2 + 1 ÷

: + 1

= 1 ÷

2

1.2.6. Exercise. For the following telescoping series, establish their nature and if convergent …nd the

sum:

(1)

1

¸

n=1

1

: +

: + 1

= ·

9

(2)

1

¸

n=1

1

:

2

+ 5: + 6

=

1

3

(3)

1

¸

n=1

1

:

2

+ 4: + 3

=

5

12

(4)

1

¸

n=1

ln

:

: + 1

(5)

1

¸

n=1

3:

2

+ : ÷1

:

2

÷2: + 3

1.2.5. Various series classi…cations.

1.2.5.1. With respect to the convergence/divergence (and the type of divergence) of the sequence of

partial sums:

convergent

**series ÷÷ divergent ÷÷ sum equal to ±·
**

`

sum does not exist

1.2.5.2. With respect to the type of the general term:

general (c

n

÷ R)

series ÷÷ positive (c

n

_ 0)

`

alternate (c

n

= (÷1)

n

/

n

, /

n

_ 0)

or c

n

c

n+1

< 0

1.3. Convergence Tests for positive series

The general term for positive series will be positive (c

n

_ 0) and strictly positive (c

n

0) only when

required by the involved operations. The sum of these series always exists, but it may be in…nite (+·).

1.3.1. Theorem (Thm. 1.48, [3]). For a positive terms series, changing the order of the terms does

not change the nature of the series or the value of the sum.

Proof. Consider

1

¸

n=1

c

n

with c

n

0 for all : and

1

¸

n=1

/

n

a rearrangement of the …rst series (that is,

the same terms in di¤erent order).

The sequence of the partial sums o

a

n

=

n

¸

k=1

c

n

is an increasing sequence (because o

a

n+1

= o

a

n

+c

n+1

o

a

n

)

so it has a limit (which may be in…nite, denote it by o

a

).

The sequence of the partial sums o

b

n

=

n

¸

k=1

/

n

is also an increasing sequence with limit o

b

.

Consider an arbitrary …xed index :. Since /

1

, , /

n

is a rearrangement of the terms c

n

, there is j

n

the biggest index for which /

k

= c

n

k

(j

n

= max ¦:

1

. . :

k

¦). Then o

b

n

_ o

a

p

n

_ o

a

so passing to limit for

: ÷· it follows that o

b

_ o

a

. A similar argument leads to o

a

_ o

b

so in fact o

a

= o

b

.

10

1.3.2. Theorem (First Comparison Test; Thm. 1.49, [3]). Consider two series with positive terms

¸

n2N

c

n

and

¸

n2N

/

n

so that there is an index :

0

÷ N for which 0 _ c

n

_ /

n

, \: _ :

0

.

Then:

(1) If

¸

n2N

/

n

converges then

¸

n2N

c

n

converges;

(2) If

¸

c

n

diverges then

¸

n2N

/

n

diverges.

Proof. Since the nature of the series does not change when substracting a …nite number of terms,

it may be assumed that the inequality 0 _ c

n

_ /

n

is valid for all :. Then between the partial sums

sequences (which are increasing sequences for the present case) there is the relation o

a

n

_ o

b

n

for all :

which means that when o

b

n

is bounded o

a

n

is bounded too, and when o

a

n

is unbounded o

b

n

is unbounded

too.

Exercise: For the series

¸

n2N

1

3

n

+ 2

use the inequality 3

n

+ 2 _ 3

n

=

1

3

n

+ 2

_

1

3

n

and the …rst

comparison test to study the nature of the series.

Exercise: For the series

¸

n2N

1

:

use the inequality

: +

: = 2

: _

: +

: + 1 =

1

:

_

1

: +

: + 1

and the …rst comparison test to study the nature of the series.

1.3.3. Theorem (Ratio Comparison Test; Thm. 1.55, [3]). Consider two series with positive terms

¸

n2N

c

n

and

¸

n2N

/

n

so that there is an index :

0

÷ N for which

c

n+1

c

n

_

/

n+1

/

n

\: _ :

0

.

Then:

(1) If

¸

n2N

/

n

converges then

¸

n2N

c

n

also converges;

(2) If

¸

n2N

c

n

diverges then

¸

n2N

/

n

also diverges.

Proof. Again consider that

c

n+1

c

n

_

/

n+1

/

n

for all :. By multiplying all the inequalities from : = 0 up

to : = / ÷1 it follows that

c

k

c

0

_

/

k

/

0

so that c

k

_

c

0

/

0

/

k

for all / and The Comparison Test may be applied

to conclude the proof.

1.3.4. Theorem (Limit Comparison Test; Thm. 1.52 [3]). If ¬ lim

n!1

a

n

b

n

= \ ÷ (0. ·) then the series

¸

n2N

c

n

and

¸

n2N

/

n

have both the same nature.

1.3.5. Theorem (:th Root Test / Cauchy’s test, Thm. 1.65, [3]). For the series

¸

n2N

c

n

, c

n

0.

If lim

n!1

n

c

n

= 1 ÷ (0. ·), then:

(1) For 1 < 1 the series converges;

(2) For 1 1 the series diverges;

(3) For 1 = 1 the test is inconclusive.

1.3.6. Theorem (Ratio Test / D’Alembert’s test, Thm. 1.62, [3]). For the series

¸

n2N

c

n

, c

n

0.

11

If lim

n!1

c

n+1

c

n

= 1 ÷ (0. ·), then:

(1) For 1 < 1 the series converges;

(2) For 1 1 the series diverges;

(3) For 1 = 1 the test is inconclusive.

1.3.7. Theorem (Integral Test, Thm. 1.57 [3]). Consider a function c() : [1. ·) ÷R

+

continuous and

decreasing. Then the series

¸

n2N

c(:) converges if and only if the improper integral

1

1

c(r) dr converges.

1.3.8. Theorem (Cauchy Condensation Test, Thm. 2.3 [3]). The series

¸

n2N

c

n

, c

n

0 and

¸

n2N

2

n

c

2

n

have both the same nature.

1.3.9. Theorem. The j–series

¸

n2N

1

:

p

with j ÷ R is:

(1) Convergent if j 1.

(2) Divergent if j _ 1.

1.3.10. Theorem (Schlömilch, Thm. 2.4 [3]). If c

n

0 is eventually decreasing and the sequence :

k

is strictly increasing such that

:

k+1

÷:

k

:

k

÷:

k1

k

is a bounded sequence, then the series

¸

n2N

c

n

, c

n

0 and

¸

n2N

(:

k+1

÷:

k

) c

n

k

have both the same nature.

1.3.11. Theorem (Raabe’s Test, Thm. 11, [9]). For a series

¸

n2N

c

n

with positive terms (c

n

0),

suppose the limit lim

n!1

:

c

n

c

n+1

÷1

**exist and is equal with 1. Then:
**

(1) If 1 1 then the series converges;

(2) If 1 < 1 then the series diverges.

(3) If 1 = 1 then the test is inconclusive.

1.4. Convergence tests for general series

1.4.1. De…nition. The series

¸

n2N

c

n

is called absolute convergent when

¸

n2N

[c

n

[ is convergent (the series

of absolute values).

1.4.2. Remark. For a general series (with c

n

÷ R) the series of absolute values is a positive terms

series, so the previous section applies to it.

1.4.3. De…nition. The series

¸

n2N

c

n

is called conditionally convergent when it is convergent but not

absolute convergent.

1.4.4. Theorem. If a series converges absolute then it converges (in the ordinary sense).

Proof. Consider an absolute convergent series

¸

n2N

c

n

. Then

¸

n2N

[c

n

[ is convergent and:

0 _ c

n

+ [c

n

[ _ 2 [c

n

[ = the series

¸

n2N

(c

n

+[c

n

[) is with positive terms and is dominated by a

convergent series so by The Comparison Test it is convergent.

12

Then because the series

¸

n2N

(c

n

+[c

n

[) and

¸

n2N

[c

n

[ are convergent, so it is their di¤erence:

¸

n2N

(c

n

+[c

n

[)÷

¸

n2N

[c

n

[ =

¸

n2N

(c

n

+[c

n

[ ÷[c

n

[) =

¸

n2N

c

n

.

1.4.5. Theorem (Abel). If

¸

n2N

c

n

converges and (/

n

)

n2N

is a bounded monotone sequence then

¸

n2N

c

n

/

n

converges.

1.4.6. Theorem (Dirichlet). If

¸

n2N

c

n

has bounded partial sums and (/

n

)

n2N

is monotone and lim

n!1

/

n

=

0, then

¸

n2N

c

n

/

n

converges.

1.5. Convergence tests for alternating series

1.5.1. De…nition. The series

¸

n2N

c

n

is called alternating when c

n

= (÷1)

n

/

n

, /

n

0.

1.5.2. Theorem (Alternating series test / Leibniz, Thm. 1.75, [3]). If:

(1) ¬:

0

÷ N, \: _ :

0

, /

n+1

_ /

n

.

(2) lim

n!1

/

n

= 0.

Then the alternating series

¸

n2N

(÷1)

n

/

n

, /

n

0 converges.

1.6. Some formulas and exercises

n

¸

k=1

1 = :

n

¸

k=1

/ =

:(: + 1)

2

n

¸

k=1

/

2

=

:(: + 1) (2: + 1)

6

n

¸

k=1

/

3

=

:(: + 1)

2

2

1 + r + r

2

+ + r

n

=

1 ÷r

n+1

1 ÷r

. r = 1

: + 1. r = 1

1 + r + r

2

+ + r

n

+ = lim

n!1

(1 + r + r

2

+ + r

n

) =

1

1 ÷r

. r ÷ (÷1. 1)

¬ or · otherwise

1

¸

n=1

2

n

+ 2 3

n

+ 5

n

3

n

+ 5

n

1.7. A Macroeconomical Example

Optional Macroeconomics Topic for Series: Chapter 3, Doepke, Lehnert, Sellgren MACROECO-

NOMICS, 1999.

13

1.7.1. Example. A typical Macroeconomics model, called "The household’s maximization problem",

may look like this:

max

fc

t

g

1

t=1

1

¸

t=1

t1

n(c

t

) .

subject to:

1

¸

t=1

1 (n

t

÷c

t

)

(1 + 1)

t1

= 0.

It is beyond the goal of the present text to study such models. Here we just mention the economical

interpretations expressed by means of series:

« t ÷ N

**means "(discrete) time" ( 0 means "now", 1 means "a year from now" and so on); the
**

measurement unit for time may be "year" or a certain unspeci…ed "period of time".

« the discussion is about a "household", and not an individual; one di¤erence is that while an

individual lives a …nite number of years, the household may be considered "to live forever" (an

inde…nite number of years).

« the household uses a single commodity (say bananas) measured in quantities (kilos of bananas)

both for income and consumption;

– n

t

is "the household’s income for period t" (kilos of bananas) (exogeneous)

– c

t

is "the household’s consumption for the period t" (kilos of bananas)

– 1 is the price of one kilo of bananas (doesn’t change over time :) );

– the household has access to a "bananas market", where it may buy (at price 1), sell (at price

1) and invest money to buy bonds on the bananas market, which bear interest 1 (1 USD

invested gives the next period (1 + 1) USD);

– n() is an increasing function of consumption, called "the household’s consumption utility

function"

« ÷ [0. 1] is "the household’s discount factor" and it is a way to express how much the household

cares for the current consumption as oposed to future consumption

– = 0 means that the household only cares about current consumption;

– = 1 means that the household cares equally about current inde…nite future consumption;

– = 0.95 (a typical value) should mean that the household cares a little more about the

present than the future consumption.

With the above conventions, the initial problem says: "…nd the maximum present utility and the

consumption strategy to attain this, while keeping equal the present values of all future income and all

future consumption".

1.8. Power Series

1.8.1. De…nition. Given a sequence of real numbers (c

n

)

n2N

and c ÷ R the series

1

¸

n=0

c

n

(r ÷c)

n

is a

power series around c and the numbers c

n

are the coe¢cients of the power series.

1.8.2. Theorem. For the power series

1

¸

n=0

c

n

(r ÷c)

n

put c = lim

n!1

n

[c

n

[ (if it exists) and 1 =

1

c

.

Then the power series converges if [r ÷c[ < 1 and diverges if [r ÷c[ 1 (1 is called the radius of

convergence). A similar result is valid when c = lim

n!1

[c

n+1

[

[c

n

[

(if it exists) and 1 =

1

c

).

Proof. Apply the root test (or the ratio test).

14

1.8.3. Remark. For the values r = c ÷1 and r = c +1 there is no way to decide in advance so they

have to be studied separately for each case. The interval [[c ÷1. c + 1][ is called "convergence domain"

and for each case it has to be decided if it is left/right open/closed.

1.9. Taylor’s expansions

1.9.1. Theorem (Taylor, Thm 5.15, [14]). Consider 1 () : [c. /] ÷R and : ÷ N

.

If:

(1) The derivatives up to :th order exist and are continuous on [c. /] (for c and / consider lateral

derivatives),

(2) The (: + 1)th derivative exist on (c. /),

(3) c < ÷ [c. /]

(4) The polynomial 1 () is de…ned by: 1 (r) =

n

¸

k=0

1

(k)

(c)

/!

(r ÷c)

k

[1 () is called „The :th order

Taylor polynomial in c”; 1 () „coincides” with 1 () in c, in the sense that 1

(k)

(c) = 1

(k)

(c),

\/ = 0. :].

Then: ¬: ÷ (c. ) such that 1 () = 1 () +

1

(n+1)

(:)

(: + 1)!

( ÷c)

n+1

.

Proof. Consider the function o (r) = 1 (r) ÷1 (r) ÷

1 () ÷1 ()

( ÷c)

n+1

(r ÷c)

n+1

.

Then:

o

(j)

(r) = 1

(j)

(r) ÷1

(j)

(r) ÷

1 () ÷1 ()

( ÷c)

n+1

(: + 1) :(: ÷1) (: ÷, + 1) (r ÷c)

nj

, \, = 0. :

o (c) = 1 (c) ÷1 (c) ÷

1 () ÷1 ()

( ÷c)

n

(c ÷c)

n

= 0.

o () = 1 () ÷1 () ÷

1 () ÷1 ()

( ÷c)

n

( ÷c)

n

= 0.

o

(j)

(c) = 1

(j)

(c) ÷1

(j)

(c) ÷

1 () ÷1 ()

( ÷c)

n

:(: ÷1) (: ÷, + 1) (c ÷c)

nj

= 0, \, = 0. :

o

(n+1)

(r) = 1

(n+1)

(r) ÷

1 () ÷1 ()

( ÷c)

n+1

(: + 1)!.

From "The Mean Value Theorem" (TMVT) (for example Theorem 30.3 in [2]) for o () on [c. ] there

is :

1

÷ (c. ) such that o

0

(:

1

) = 0.

From TMVT for o

0

() on [c. :

1

] there is :

2

÷ (c. :

1

) such that o

00

(:

2

) = 0.

From TMVT for o

(n)

() on [c. :

n

] there is :

n+1

÷ (c. :

n

) such that o

(n+1)

(:

n+1

) = 0, meaning

1

(n+1)

(:

n+1

) =

1 () ÷1 ()

( ÷c)

n+1

(: + 1)!.

For : = :

n+1

it follows 1 () = 1 () +

1

(n+1)

(:)

(: + 1)!

( ÷c)

n+1

.

15

1.9.2. Remark (Taylor Series). Suppose that the conditions in Taylor’s Theorem are satis…ed for any

: ÷ N and that the remainder

1

(n+1)

(:)

(: + 1)!

(/)

n+1

converges to 0 as : ÷· (uniformly with respect to / in

[[c ÷1. c + 1][. Then 1 (c + /) =

1

¸

n=0

1

(n)

(c)

:!

/

n

, for / ÷ [[c ÷1. c + 1][.

1.9.1. Some usual Taylor expansions. c

x

=

1

¸

n=0

r

n

:!

, \r ÷ R

sin r =

1

¸

n=0

(÷1)

n

(2: + 1)!

r

2n+1

, \r ÷ R

cos r =

1

¸

n=0

(÷1)

n

(2:)!

r

2n

, \r ÷ R

c

x

=

1

¸

n=0

ln

n

c

:!

r

n

, \r ÷ R

sinh r =

1

¸

n=0

1

(2: + 1)!

r

2n+1

, \r ÷ R

cosh r =

1

¸

n=0

1

(2:)!

r

2n

, \r ÷ R

(1 + r)

=

1

¸

n=0

c(c ÷1) (c ÷: + 1)

:!

r

n

, [r[ _ 1

1 + r = 1 +

1

2

r ÷

1 1

2 4

r

2

+

1 1 3

2 4 6

r

3

÷

1 1 3 5

2 4 6 8

r

4

+ , [r[ _ 1

3

1 + r = 1 +

1

3

r ÷

1 2

3 6

r

2

+

1 2 5

3 6 9

r

3

÷

1 2 5 8

3 6 9 12

r

4

+ , [r[ _ 1

ln (1 + r) =

1

¸

n=0

(÷1)

n+1

:

r

n

, \r ÷ (÷1. 1]

1.9.3. Exercise.

1

¸

n=1

: c

n

1.9.4. Example.

1

¸

n=1

(:

3

+ 1) c

n

(: + 1)!

1.9.5. Solution.

1

¸

n=1

(:

3

+ 1) c

n

(: + 1)!

=

1

¸

n=1

(: + 1) (:

2

÷: + 1) c

n

(: + 1)!

=

=

1

¸

n=1

(:

2

÷: + 1) c

n

:!

=

1

¸

n=1

¸

:c

n

(: ÷1)!

÷

c

n

(: ÷1)!

+

c

n

:!

=

=

1

¸

n=1

:c

n

(: ÷1)!

÷

1

¸

n=1

c

n

(: ÷1)!

+

1

¸

n=1

c

n

:!

=

= c

a

÷1 +

1

¸

n=1

:c

n

(: ÷1)!

÷c

1

¸

n=1

c

n1

(: ÷1)!

=

= c

a

÷1 ÷c c

a

+

1

¸

n=1

(: ÷1 + 1) c

n

(: ÷1)!

=

= c

a

÷1 ÷c c

a

+ c +

1

¸

n=2

(: ÷1 + 1) c

n

(: ÷1)!

=

16

= c

a

÷1 ÷c c

a

+ c +

1

¸

n=2

¸

(: ÷1) c

n

(: ÷1)!

+

c

n

(: ÷1)!

=

= c

a

÷1 ÷c c

a

+ c + c

2

1

¸

n=2

c

n2

(: ÷2)!

+ c

1

¸

n=2

c

n1

(: ÷1)!

=

= c

a

÷1 ÷c c

a

+ c + c

2

c

a

+ c (c

a

÷1) = c

a

÷1 + c

2

c

a

9.4. Extreme points 2. continuity. Applications of Calculus to economic modelling Part 2. Beta Chapter 6. Field of events. Unconstrained optimization.1. Derivatives 2. Power Series 1. Euler functions: Gama. Properties of probability. A Macroeconomical Example 1. Approximating functions by Least Square Method.1. Functions of several variables. Ordinary di¤erential equations (1/2 lecture) Chapter 4.5. Improper integrals. Extremes.2. Higher order derivatives 2.7.9.6. Taylor Polynomials 2. Finite di¤erence equations (1/2 lecture) Chapter 5. Convergence Tests for positive series 1.12. 2. partial derivatives. Convergence tests for general series 1. Limit. Applications in Economics 2.10. Functions of several variables (2 lectures) 2.2.8. In…nite series 1. Special cases 1.7. Constrained Optimization 2. Unconstrained Local Optimization 2.5. Continuity 2. di¤erentiability and di¤erential. Chapter 3. Taylor’ expansions s Chapter 2. Events. Calculus 1 3 3 6 9 11 12 12 12 13 14 17 17 19 21 22 23 29 31 33 34 39 42 43 47 53 55 57 59 61 Chapter 1.3.11. Some formulas and exercises 1. Probabilities (7 lectures) Chapter 7. Introduction 1. Probability: classic and axiomatic de…nition.4.Contents Part 1. Convergence tests for alternating series 1. iii .8.3.6. Introduction 2. The implicit function theorem 2.

* High School Revision A. Convexity Appendix A. Discrete bivariate random variables: marginal distributions. Relations and functions A. Topology Appendix C. Chapter 11. Sets. De…nition of a random variable. Discrete and classical distributions. Bibliography 65 67 69 71 73 75 77 77 80 83 84 85 89 92 94 99 101 105 107 . Usual Number Sets.1. Functions A.7. Chapter 12. Probability of a union/intersection of events.iv Cristian Necul¼escu a Chapter 8. Probability density function: de…nition. Database applications for Logic. Chapter 14.6. Examples on the discrete case. Sets A. Properties. Cumulative distribution function: de…nition. Functions of one variable Appendix. Functions of random variables. Bayes formulas. Chapter 10. Minorants. Binary Logic A.4. Classical probability schemes.3. majorants A. Symbols Appendix B. moments. covariance. Relations A. properties.8. Chebyshev inequality. Countability A. Expectation and variance.5.9. Total probability formula. Conditional probability. Continuous random variables. properties. correlation. Operations with random variables. Chapter 13. Applications of probability theory to economic modelling. Moments of random variables.2. conditional distributions. Sequences A. 63 Chapter 9.

Part 1 Calculus .

1. You may see at the end of this chapter a little Macroeconomic model. dividends. "Linear Algebra – linear systems.4. 1. "Geometry and Trigonometry". As Murphy says. 1. you may …nd useful to keep close appropriate high– school texts." Abel. "Calculus – limits. During the lectures and seminars. this means all "Precalculus". "Abstract Algebra – groups.2. The sign " " comes from the capital greek letter "sigma". 1. A series is an "in…nite summation" or (more precise) a "discrete in…nite summation" or a "countable in…nite summation". the number Sn de…ned by Sn = a1 + a2 + a3 + + an = k=1 of the series". 5n P 2n .1. and it is shameful to base on them any demonstration whatsoever. the sequence (Sn )n2N is called "the sequence of partial sums of the series".1. with the maximum concentration on Mathematics". still. graphs of functions". n 5 3 . matrices. Remark. …elds.1. "Analytic Geometry". A series: The general term: an = 3 1 P n P ak is called "the nth order partial sum 3 n=0 n 2 . The detailed study of these situations is beyond the purpose of the present text –the interested reader may consult titles like [12] or [13]. derivability. Example. rings". insurance).1. De…nition (Informal). Series as an abstract mathematical model may be found in "Macroeconomics" representing "discrete dynamics" or "inde…nite discrete …nancial ‡ ows". In the Appendix it may be found a brief review of some of these topics. The symbol n=1 1 P an = a1 + a2 + Def + an + is called "series" or "real series" or "real in…nite series". each of you is welcomed to ask questions and to comment. Broadly speaking. De…nition (Formal). Introduction Consider a sequence of real numbers denoted (an )n2N .3.CHAPTER 1 In…nite series "Divergent series are the invention of the devil.1. determinants". continuity.g. t 1. "Calculus –elementary integrals". the number an is called "the [general] term of the series". "Science advances when the student asks and the teacher doesn’ know the answer". 1828 The starting point for the main body of these Lecture Notes is the level of knowledge given in Mathematics by "High School graduate. a typical situation describes the (expected) present value of a future accumulation process in which the accumulation will take place at an inde…nite number of future moments (e. 1.

4 !!! Pay attention at the …rst term (which is not always 0 or 1).1.7.1. 8n 2 N .5. THEN the series diverges.1. When convergent we may also talk about the sum of the series. By contradiction: the statement (an 6! 0 ) an diverges) is logically equivalent with the n2N P statement ( an converges ) an ! 0). 1 P an is divergent (diverges) if (Sn )n2N is divergent (diverges). [Divergence test] n!1 an 6= 0 ) n2N IF the general term does not tend towards zero. For the previous example. n=1 1. A di¤erence between the two types of information (quantitative and qualitative) is that usually the algorithms embedded in software products are built upon the claim that the qualitative part is satis…ed –and so the usage of some software products for situations where the qualitative part is not satis…ed may lead to unexpected results. in this particular case we may 5k n+1 2 5 k =3 1 It may be seen that 9 lim Sn = 5. The symbol an is called "convergent" (we say "it n=1 1. We write The behavior of a series (convergent or divergent) is a qualitative information. only in this case is the value S = lim Sn n!1 called "the sum of the series". the sequence (Sn S)n2N (the di¤erence between the partial sum and the sum) is "the remainder sequence" and it vanishes (it tends toward 0). it is advisable to separate the qualitative and quantitative studies. Remark. n2N P from de…nition an converges ) 9S = lim Sn ) an = Sn Sn 1 ! S S = 0: n2N n!1 n!1 n=0 1 P 2n 3 n 5 n=0 = 5. n!1 2 5 =5 1 " 2 5 n+1 # = Sn .1. P lim an diverges: 1. 1 P 3 2n 5n .6. which is quantitative information [conditioned by the qualitative information]. As a general rule. called "the nature of the series".8. P Proof. Example. since lim Sn = 5 we conclude that the series n!1 converges and the sum is 5 (the value of the limit). 1 P 1. Between the sequences (an )n2N and (Sn )n2N there are certain recurrence relations: Sn+1 = Sn + an+1 (or an+1 = Sn+1 Sn ). converges") if the sequence (Sn )n2N is convergent (converges). De…nition (convergence/divergence). located at the bottom of the summation symbol: 1 X an n= …rst te rm !!! The sequence of partial sums of the series: Sn = n P 2k obtain an explicit form for Sn : 3 k =3 5 k=0 k=0 n P k=0 n P ak = 1 k=0 n P 3 2 5 2k . Theorem.

the sum of a series is unique [because the limit of a sequence is unique]. the rearrangement of the terms of an in…nite addition may alter both the qualitative and the quantitative results. Still.1. Given a series. (2) While …nite addition is commutative. 1. Example. the series (an + bn ) and ( an ) are also convergent and n2N n2N n2N [The line of reasoning again makes the (hidden) false assumption that there is a number S equal to the 1 P abstract symbol ( 1)n and falsely assumes that rearrangements are true for divergent series] n=0 . some of them: (1) While …nite addition always exist.1.12. Consider 1 P ( 1)n . When convergent. careless grouping and regrouping of the terms of an in…nite addition is false and may lead to unexpected results. (3) While …nite addition is asociative.1.47.10.14. Still the following false line of reasoning "…nds the sum of the series": S S S = 1 1+1 1+1 1+1+ ) 1= 1+1 1+1+ ) 1= (1 1 + 1 1 + 1 + )= S) 1 ) 2S = 1 ) S = : 2 n=0 1 P The "result" is false and the unique mistake is "the notation" S = ( 1)n which implicitly and falsely 1 P assumes that a number S exists and is equal with the abstract symbol ( 1)n . While …nite addition is associative. P 1. Remark. 3. Remark. This means that in…nite grouping of the added objects sometimes changes the nature of the in…nite summation.11. this is not the case with in…nite addition.kg 1. Example: "0 = 1". 1. There are some signi…cant di¤erences between …nite and in…nite addition (summation). Remark.1. The series diverges because the general term doesn’ tend t n=0 towards zero. the inclusion/exclusion of a …nite number of terms doesn’ change the t nature of the seriesP [Because a …nite number of additions/substractions does not modify the existence of P a limit] [the series an and an have the same nature]. Thms. in…nite addition is not always associative. When the series an n2N P P P and bn are both convergent and 2 R.1.9.50.51 [14]). it may change the value of the n2N n2Nnf0.13.5 1. . n=0 sum. 3. when it exists. Remark. Remark (Algebraic operations with series.1. 3. False line of reasoning: 1= = = = 1+0+0+ +0+ = 1 + ( 1 + 1) + ( 1 + 1) + (1 1) + (1 1) + + (1 0: ( 1 + 1) + 1) + = = 1.1.

2. simple interest formulas] 1. 1) So lim Sn = 1 a n!1 does not exist or in…nite in rest.2. Special cases 1. Arithmetic sequence (arithmetic progression). is a sequence of numbers so that the di¤erence between any two consecutive terms is constant (and is called "common di¤erence") (Alternative characterization: For any three consecutive terms. compounded interest formulas] 1. P P n2N P n2N P n2N (an + bn ) and ( an ) are also convergent" while the quantitative part is: ( an ) = an : n2N n2N n2N 1. 1.2. the qualitative part is: " P an and bn n2N P P n2N n2N 1.2. a 2 ( 1. 1) n2N 8 < 1 an+1 . 1 r k=1 k=1 P n convergent. an = a1 rn 1 .2. Remark. Remark. a 2 ( 1.1.3. Geometric Series: n n P P 1 rn ak = a1 rk 1 = a1 .1. n2N P n2N P n2N ( an ) = an : n2N n2N are both convergent ) P P (an + bn ) = an + bn . the middle term is the geometric mean of the extreme terms). [Used in Finance. a 2 Rn ( 1. The proof is based on translating the convergences in terms of ""– de…nitions". 1) a = divergent.15. Geometric sequence (geometric progression). the middle term is the arithmetic mean of boundary terms) an = a1 + (n 1) d. Arithmetic series: n n P P n (n 1) ak = (a1 + (k 1) d) = na1 + d 2 k=1 k=1 [Used in …nance. a 6= 1 2 3 n In fact Sn = 1 + a + a + a + +a = : 1 n. is a sequence of numbers such that the sequence of reciprocals is an arithmetic sequence: 1 (such that any denominator is nonzero) an = a1 + (n 1) d Harmonic series: . r 6= 1. Harmonic sequence (harmonic progression). is a sequence of numbers such that the ratio between two consecutive terms is constant (Alternative characterization: For any three consecutive terms.6 moreover.1. the following relations between the sums of series are valid: P P P (an + bn ) = an + bn .16. a a = 1: ( 1 . In this result.

The number e. The number e is irrational.2. he will still win the race.32. the total value of the s sum is …nite] S0 The time Achille needs to cover this distance is which is equal with (the geometric series) vA vT 1 P S0 v T n .4. This is interpreted in the following manner: "Achilles will never outrun the Turtle. they are always strictly positive. In the time needed by A to cover the new distance S1 . expected number of records is 1 + + + 2 3 n ak = n P n P 1. n+1 vT 1 n 1 P vT S0 v A vA T’ total advantage is (the geometric series): s S0 = lim S0 = [AlvT n!1 vA vA vT n=0 1 vA though the Turtle’ total advantage is an in…nite sum of strictly positive distances. 1. 3. It is assumed that Achilles’speed is much bigger than the Turtle’ speed. Then the 1 1 1 + . because the Turtle will always have a strictly positive distance in advance". "Common sense" says that the distances Sn even if they are increasingly smaller. Example (Achille and the Turtle (Zenon paradox). vA n=0 vA . Then A starts and until he also covers S0 T already covers another distance called S1 .7 1 (no elementary formula available) 1) d k=1 k=1 a1 + (k Interpretation: Given n (ordered) observations for a certain measurement (such that the observations are comparable).1. 1. Achilles (A) and the Turtle (T) race together. also see Section 1. Theorem (Thm. e = 1 P 1 n=0 n! n 1. T covers a new distance S2 . The following line of reasoning has been known since Ancient Greece as the "Zenon paradox": Denote A’ speed vA and T’ speed vT (with vA > vT ).3 [3]). lim n!1 1+ 1 n = e. 3. say that an observation is a "record" if it is the greatest of all (up to it). and so on.2.2. [14]).31.2. so s common sense tells that even if Achille gives the Turtle an initial advantage. Theorem (Thm. A starts the race only when T covers S0 .3. [14]). Consider the advance given by A in the form of s s distance S0 .2.

because of the in…nite number of terms.8 1 . both series are divergent so that actually we have: n=1 n n=1 n + 1 1 X n=1 k=1 n P 1 k 1 k+1 has a …nite number of terms so it is not wrong to write n P 1 k=1 k 1 n 1 n+1 1 X1 "=" n n=1 1 X n=1 1 () 1" = "1 n+1 1: 1. in the situation . Example (Telescoping/collapsing series). by successive cancellation: 1. n+1 1 n+1 1 n+1 ) 9 lim Sn (so the series is convergent) =1 n!1 and lim Sn = 1 (so the sum is 1) n!1 CAUTION: The sum n P 1 P 1 1 1 . Consider the series n n P P 1 1 .2.2.On the contrary. It is convergent and n=1 n (n + 1) is a "telescopic series" in the sense that the sum may be calculated "elementary". establish their nature and if convergent …nd the sum: 1 P 1 p =1 (1) p n+ n+1 n=1 . Example. 1 P p n=1 n+2 n+2 p p 2 n+1+ n = p n+1+ p n p n+1 = n=1 1 P p n+2 p p 2 n+1+ n n=1 = p p p k+2 k+1+ k k+1 = n!1 k=1 p p p p = lim n+2 2+1 n+1 =1 2 = lim n!1 n P p 1 P p 1. For the following telescoping series. it n n+1 n=1 k=1 k + 1 1 1 P 1 P 1 is wrong to write .5.6.4.2. Exercise. so that = k+1 k=1 k (k + 1) k=1 1 1 = 1 2 = 1 P 1 1 = k (k + 1) k 1 k 1 k+1 = 1 + 2 = 1 + 3 = = + 1 + n = = + ) Sn = 1 1 .

2. A similar argument leads to S a S b so in fact S a = S b . For a positive terms series. nk g).2.48. Then Sn Spn S a so passing to limit for n ! 1 it follows that S b S a . With respect to the convergence/divergence (and the type of divergence) of the sequence of convergent % ! sum equal to 1 partial sums: series ! divergent & sum does not exist 1 = + 5n + 6 n=1 1 P 1 (3) = 2 + 4n + 3 n=1 n 1 P n (4) ln n+1 n=1 1 P 3n2 + n 1 (5) 2 2n + 3 n=1 n n2 1 P 1 3 5 12 1. [3]). . Theorem (Thm.3.1. 1.1. 1. Proof. Since b1 . there is pn b a the biggest index for which bk = ank (pn = max fn1 . With respect to the type of the general term: series % ! positive (an 0) & alternate (an = ( 1)n bn . bn is a rearrangement of the terms an . Various series classi…cations. Convergence Tests for positive series The general term for positive series will be positive (an 0) and strictly positive (an > 0) only when required by the involved operations. n P b The sequence of the partial sums Sn = bn is also an increasing sequence with limit S b . The sum of these series always exists. denote it by S a ).9 (2) 1.2.5. bn or an an+1 < 0 general (an 2 R) 0) 1. so it has a limit (which may be in…nite. Consider an arbitrary …xed index n.3.2.5. 1.5. a The sequence of the partial sums Sn = 1 P bn a rearrangement of the …rst series (that is. Consider 1 P an with an > 0 for all n and n P n=1 n=1 a a a an is an increasing sequence (because Sn+1 = Sn +an+1 > Sn ) the same terms in di¤erent order). but it may be in…nite (+1). changing the order of the terms does not change the nature of the series or the value of the sum. . k=1 k=1 .

52 [3]). an > 0. p P 1 p p p p 1 p use the inequality n + n = 2 n n + n+1 ) p Exercise: For the series n n n2N 1 p and the …rst comparison test to study the nature of the series. Theorem (Limit Comparison Test. If 9 lim an = n!1 b P an and bn have both the same nature. By multiplying all the inequalities from n = 0 up an bn bk a0 so that ak bk for all k and The Comparison Test may be applied b0 b0 2 (0. Theorem (First Comparison Test. . 1. For the series s n2N P an . [3]). and when Sn is unbounded Sn is unbounded too. Consider two series with positive terms P bn+1 an+1 8n n0 . 1.49. 1) then the series P an .3. 1. Consider two series with positive terms P an and bn so that there is an index n0 2 N for which 0 an bn . Thm. n2N n2N P P (2) If an diverges then bn diverges. an > 0.4.3.3. Theorem (Ratio Comparison Test.3. (2) For L > 1 the series diverges. [3]). an and bn so that there is an index n0 2 N for which an bn n2N n2N Then: P P (1) If bn converges then an also converges. n2N Proof.62. Thm. [3]). Thm. 1.6.5. n2N 1. Since the nature of the series does not change when substracting a …nite number of terms.10 n2N P 1. For the series s p If lim n an = L 2 (0. 1. it may be assumed that the inequality 0 an bn is valid for all n. P 1 1 1 Exercise: For the series use the inequality 3n + 2 3n ) n and the …rst n+2 3 +2 3n n2N 3 comparison test to study the nature of the series. then: n!1 n 1. p n+ n+1 1. n2N n2N (1) For L < 1 the series converges.3. n2N Proof. Thm. Theorem (Ratio Test / D’ Alembert’ test. P bn+1 an+1 for all n. 8n n0 .3. Thm.55.2. 1. Again consider that to n = k 1 it follows that ak a0 to conclude the proof. 1). n2N n2N P P (2) If an diverges then bn also diverges. Then between the partial sums a b sequences (which are increasing sequences for the present case) there is the relation Sn Sn for all n b a a b which means that when Sn is bounded Sn is bounded too. P n2N n2N Then: P P (1) If bn converges then an converges. [3]). (3) For L = 1 the test is inconclusive.65. Theorem (nth Root Test / Cauchy’ test.

4. Theorem (Integral Test. P 1. (3) If L = 1 then the test is inconclusive. 1.3. Consider a function ( ) : [1. De…nition.11 If lim an+1 = L 2 (0. Theorem (Cauchy Condensation Test. De…nition. (2) If L < 1 then the series diverges.4. then: n!1 an (1) For L < 1 the series converges.4. 1)R! R+ continuous and P 1 (x) dx converges. (2) Divergent if p 1. If an > 0 is eventually decreasing and the sequence nk P nk+1 nk is strictly increasing such that is a bounded sequence. The series an is called conditionally convergent when it is convergent but not n2N absolute convergent. Thm.3. P an . Then: n!1 an+1 (1) If L > 1 then the series converges.4. Remark.1.11.9.57 [3]). Then jan j is convergent and: n2N n2N P 0 an + jan j 2 jan j ) the series (an + jan j) is with positive terms and is dominated by a n2N . [9]). 2.4. Thm. Theorem. then the series an . 2. 11.7. decreasing. 1).10. For a general series (with an 2 R) the series of absolute values is a positive terms series.3.3.3 [3]). 1. (2) For L > 1 the series diverges. The series an is called absolute convergent when jan j is convergent (the series n2N n2N 1. The series P 1 with p 2 R is: p n2N n n2N have both the same nature.3. Convergence tests for general series P P 1. Thm. If a series converges absolute then it converges (in the ordinary sense). 1.4. so the previous section applies to it. n2N 1. 1.2. 1. Theorem. (3) For L = 1 the test is inconclusive. Thm. convergent series so by The Comparison Test it is convergent. The p– series (1) Convergent if p > 1. P an with positive terms (an > 0).8.4 [3]). an > 0 and n2N P 2n a2n 1. of absolute values). P P Proof. For a series s n2N suppose the limit lim n an 1 exist and is equal with L. Then the series (n) converges if and only if the improper integral 1 n2N 1. Theorem (Schlömilch. an > 0 and nk nk 1 k n2N P (nk+1 nk ) ank have both the same nature. Theorem (Raabe’ Test. Consider an absolute convergent series an .3.

Convergence tests for alternating series P 1. [3]). The series an is called alternating when an = ( 1)n bn . bn > 0 converges. n2N 1. If: (1) 9n0 2 N.7. A Macroeconomical Example Optional Macroeconomics Topic for Series: Chapter 3. n2N P an converges and (bn )n2N is a bounded monotone sequence then n2N P an b n 1.6. n2N P 1. ( 1)n bn . Theorem (Alternating series test / Leibniz. Theorem (Dirichlet). 1) 1 x 6 9 or 1 otherwise 1 1.4. so it is their di¤erence: (an + jan j) n2N n2N n2N P P P jan j = (an + jan j jan j) = an . Theorem (Abel). n2N n2N 1.2. 1. 8n (2) lim bn = 0. x=1 1 + x + x2 + + xn + n!1 1 P 2n + 2 3n + 5n 3n + 5n n=1 = lim (1 + x + x2 + + xn ) = ( . If converges. n!1 n0 .5.12 n2N P P P Then because the series (an + jan j) and jan j are convergent. If an has bounded partial sums and (bn )n2N is monotone and lim bn = n!1 n2N P 0. then an bn converges.75. Lehnert.1. x 6= 1 1 + x + x2 + + xn = 1 x : n + 1. De…nition.5. .6.5. Doepke.5. Then the alternating series n2N 1. bn > 0.4. Sellgren MACROECONOMICS. Some formulas and exercises k=1 n P n P 1=n k= n (n + 1) 2 k=1 n P 2 n (n + 1) (2n + 1) k = 6 k=1 2 n P 3 n (n + 1) k = 2 k=1 8 < 1 xn+1 . x 2 ( 1. bn+1 P bn . Thm. 1999.

7. the discussion is about a "household".8. Theorem.1. – = 0:95 (a typical value) should mean that the household cares a little more about the present than the future consumption. the initial problem says: "…nd the maximum present utility and the consumption strategy to attain this. the household may be considered "to live forever" (an inde…nite number of years). 1] is "the household’ discount factor" and it is a way to express how much the household s cares for the current consumption as oposed to future consumption – = 0 means that the household only cares about current consumption. n=0 n!1 . t –the household has access to a "bananas market". A similar result is valid when = lim (if it exists) and R = ). called "The household’ maximization problem". 1 p P 1 1. –u ( ) is an increasing function of consumption. and not an individual. power series around a and the numbers an are the coe¢ cients of the power series. s may look like this: 1 P t 1 max u (ct ) . – = 1 means that the household cares equally about current inde…nite future consumption. where it may buy (at price P ). which bear interest R (1 USD invested gives the next period (1 + R) USD). With the above conventions. A typical Macroeconomics model. Here we just mention the economical interpretations expressed by means of series: t 2 N means "(discrete) time" ( 0 means "now". the measurement unit for time may be "year" or a certain unspeci…ed "period of time". Power Series 1. called "the household’ consumption utility s function" 2 [0. one di¤erence is that while an individual lives a …nite number of years. while keeping equal the present values of all future income and all future consumption". the household uses a single commodity (say bananas) measured in quantities (kilos of bananas) both for income and consumption.2. subject to: 1.13 P (yt ct ) t 1 = 0: t=1 (1 + R) It is beyond the goal of the present text to study such models. For the power series an (x a)n put = lim n jan j (if it exists) and R = . 1 fct gt=1 t=1 1 P an (x a)n is a Then the power series converges if jx aj < R and diverges if jx aj > R (R is called the radius of jan+1 j 1 convergence). n!1 jan j Proof. Apply the root test (or the ratio test).8.8. Given a sequence of real numbers (an )n2N and a 2 R the series n=0 1 P 1. Example.1. De…nition. sell (at price P ) and invest money to buy bonds on the bananas market. 1 means "a year from now" and so on). –yt is "the household’ income for period t" (kilos of bananas) (exogeneous) s –ct is "the household’ consumption for the period t" (kilos of bananas) s –P is the price of one kilo of bananas (doesn’ change over time :) ).

coincides” with f ( ) in .14 1.3. f( ) P( ) 1) (n j + 1) (x )n j . Remark. For the values x = a R and x = a + R there is no way to decide in advance so they have to be studied separately for each case. ( )n+1 From "The Mean Value Theorem" (TMVT) (for example Theorem 30.9. (2) The (n + 1)th derivative exist on (a. n ] there is n+1 2 ( .1. 8j = 0. If: (1) The derivatives up to nth order exist and are continuous on [a. b] n P f (k) ( ) (4) The polynomial P ( ) is de…ned by: P (x) = (x )k [P ( ) is called „ The nth order k! k=0 Taylor polynomial in ” P ( ) „ . a + R]j is called "convergence domain" and for each case it has to be decided if it is left/right open/closed. 1. b] ! R and n 2 N . 1 ) such that g 00 ( 2 ) = 0. n g (j) ( ) = f (j) ( ) P (j) ( ) n ( ) f( ) P( ) g (n+1) (x) = f (n+1) (x) (n + 1)!.8. [14]). From TMVT for g (n) ( ) on [ . ) such that f ( ) = P ( ) + Proof. From TMVT for g 0 ( ) on [ . ( )n f( ) P( ) n (n 1) (n j + 1) ( )n j = 0. (3) < 2 [a. Consider f ( ) : [a. (n + 1)! . 8j = 0.9. n]. n n+1 (n + 1) n (n ( ) f( ) P( ) g( ) = f ( ) P ( ) ( )n = 0. Theorem (Taylor. in the sense that P (k) ( ) = f (k) ( ). P( ) (x )n+1 )n+1 . ( )n f( ) P( ) g( ) = f ( ) P ( ) ( )n = 0. 1 ] there is 2 2 ( . Taylor’ expansions s 1. Then: 9 2 ( . b). meaning f( ) P( ) (n + 1)!. ] there is 1 2 ( .15. Thm 5. 8k = 0. b] (for a and b consider lateral derivatives). Consider the function g (x) = f (x) Then: g (j) (x) = f (j) (x) P (j) (x) f (n+1) ( ) ( (n + 1)! P (x) f( ) ( )n+1 . ) such that g 0 ( 1 ) = 0. f (n+1) ( n+1 ) = ( )n+1 f (n+1) ( ) For = n+1 it follows f ( ) = P ( ) + ( )n+1 . The interval j[a R. n ) such that g (n+1) ( n+1 ) = 0.3 in [2]) for g ( ) on [ .

8x 2 ( 1. Suppose that the conditions in Taylor’ Theorem are satis…ed for any s (n+1) f ( ) n 2 N and that the remainder (h)n+1 converges to 0 as n ! 1 (uniformly with respect to h in (n + 1)! 1 P f (n) ( ) n j[a R. 1. jxj 1 1 1. ex = ( 1)n 2n+1 sin x = x . n! n=0 1.9. Example. Then f (a + h) = h . 8x 2 R n=0 n! 1 3 6 5 9 5 4 x + 8 8 4 x + 12 . 8x 2 R n=0 n! 1 P 1 x2n+1 .4.5.3. Exercise. 8x 2 R n=0 (2n + 1)! n 1 P ( 1) 2n cos x = x .9. (n + 1)! n=1 (n + 1)! n=1 1 1 P (n2 n + 1) an P nan an an = = = + n! 1)! (n 1)! n! n=1 n=1 (n 1 1 1 P nan P P an an = + = 1)! n=1 (n 1)! n=1 n! n=1 (n 1 1 P nan P an 1 = ea 1 + a = 1)! 1)! n=1 (n n=1 (n 1 P (n 1 + 1) an = ea 1 a ea + = (n 1)! n=1 1 P (n 1 + 1) an = ea 1 a ea + a + = (n 1)! n=2 . a + R]j. Some usual Taylor expansions.1.9.9. for h 2 j[a R. 8x 2 R n=0 (2n)! 1 P ( 1) ( n + 1) n x . jxj . jxj (1 + x) = n! n=0 p 1 1 2 1 1 3 3 1 1 1 x + x 1+x=1+ x 2 2 4 2 4 6 2 4 p 1 1 2 2 1 2 5 3 1 2 3 1+x=1+ x x + x 3 3 6 3 6 9 3 6 1 P ( 1)n+1 n ln (1 + x) = x . Solution. Remark (Taylor Series).15 1. a + R]j. 1] n n=0 1 P 1 P xn . n=1 1 P (n3 + 1) an n=1 (n + 1)! 1 P n an 1 1 P (n3 + 1) an P (n + 1) (n2 n + 1) an = = 1. 8x 2 R sinh x = (2n + 1)! n=0 1 P 1 2n cosh x = x .9. 8x 2 R n=0 (2n)! 1 P lnn a n ax = x .2.

16 = ea = ea = ea 1 1 1 1 P (n 1) an an + = (n 1)! (n 1)! n=2 1 1 P an 2 P an 1 a 2 a e +a+a +a = 2)! 1)! n=2 (n n=2 (n a ea + a + a2 ea + a (ea 1) = ea 1 + a2 ea a ea + a + .

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Referat.clopotel.ro-apele Minerale Din Romania

homarul

Wind Farm V1

Analiza Factorial A a Productivitatii Muncii

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Pozitia Judetului Dambovita in Cadrul Regiunii Sud-Muntenia

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