Systems of first-order linear difference equations.

See Glaister chapter 9.5. I use a different notation.

Suppose that x
t+1
=Mx
t
+ c, where M is a square nn matrix, ceR
n
, and x:R
+
R
n
,
the mapping being for integer points in R
+

only. The equilibrium of the system is the
vector x
p
=(IM)
1
c, assuming IM to be non-singular.

Consider the homogeneous (reduced) system: x
t+1
=Mx
t
with initial condition x
0
.
Clearly x
1
=Mx
0
, x
2
=M
2
x
0
, etc., and x
t
=M
t
x
0
. For the non-homogeneous system the
general solution is x
t
=M
t
o + x
p
=M
t
o + (IM)
1
c, where o is a vector of arbitrary
constants. This solution satisfies the equation:
x
t+1
Mx
t
c= M
t+1
o + x
p
M(M
t
o + x
p
) c= (IM)x
p
c= 0.

Assume that M has distinct eigenvalues. Using usual notation, MV=VA, M
t
V=VA
t
,
M
t
=VA
t
V
1
, and we may write the solution as x
t
=VA
t
V
1
o + x
p
. Note that for t=0,
A
t
=I so that o = x
0
x
p
.

Write the vector V
1
o as z, and then the typical (ith)component of the vector A
t
V
1
o is

i
t
z
i
, so that x
it
has the form
j
v
ij

j
t
z
j
=
j

ij

j
t
say. Clearly we have convergence
(stability) iff the eigenvalues of M are all less than unity in absolute value, or in
modulo.

You might like to see this spelled out for n=2:

A=
(

2
1
0
0

. Then A
2
=
(

2
1
0
0

2
1
0
0

=
(

2
2
2
1
0
0

, and so on: A
t
=
(

t
t
2
1
0
0

.

The solution to the homogeneous equation x
t+1
= Mx
t
is the complementary
function:
x
ct
= M
t
o=VA
t
V
1
o.
The term V
1
o is of the form
(

22 21
12 11
d d
d d
(

2
1
o
o
=
(

+
+
2 22 1 21
2 12 1 11
o o
o o
d d
d d
=
(

2
1
z
z
say: i.e. a
2-vector of constants.

Then A
t
V
1
o =
(

t
t
2
1
0
0

V
1
o =
(

t
t
2
1
0
0

2
1
z
z
=
(

t
t
z
z
2 2
1 1

and x
ct
= VA
t
V
1
o= V
(

t
t
z
z
2 2
1 1

=
(

22 21
12 11
v v
v v
(

t
t
z
z
2 2
1 1

=
(

+
+
t t
t t
z v z v
z v z v
2 2 22 1 1 21
2 2 12 1 1 11



or equivalently x
ct
=v
1
(z
1

1t
) + v
2
(z
2

2t
) where v
j
is the eigenvector
corresponding to
j
, i.e. it is the jth column of V.
so x
ct1
=
t t
z v z v
2 2 12 1 1 11
+
or in general x
cti
=E
j
t
j j ij
z v .

The result then is that x
ct
goes to zero as t, and x
t
x
p
, if and only if the
roots are all below 1 in absolute value, or have modulus less than 1 in the case
of complex roots.
RAS