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# Mathematics for Economists and Social Sciences

**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

Probabilities (7 lectures) Chapter 7. Ordinary di¤erential equations (1/2 lecture) Chapter 4. continuity. 2. di¤erentiability and di¤erential. Finite di¤erence equations (1/2 lecture) Chapter 5.12. partial derivatives. Introduction 1. Taylor’ expansions s Chapter 2.8. Unconstrained Local Optimization 2. Convergence Tests for positive series 1.2.5. Extreme points 2.1.9. Introduction 2. Extremes. Derivatives 2. Probability: classic and axiomatic de…nition.3. Functions of several variables (2 lectures) 2. Approximating functions by Least Square Method.5. Field of events. iii .1. The implicit function theorem 2. Applications of Calculus to economic modelling Part 2.9.4. Applications in Economics 2. Chapter 3.7. Constrained Optimization 2.3.11. Power Series 1.10. Convergence tests for general series 1. Beta Chapter 6. Unconstrained optimization. In…nite series 1. A Macroeconomical Example 1.2. Continuity 2.6.4.Contents Part 1. Some formulas and exercises 1. Special cases 1.7. Events. Taylor Polynomials 2. Higher order derivatives 2. Limit. Euler functions: Gama. Improper integrals. 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. Properties of probability.8. Functions of several variables. Convergence tests for alternating series 1.6.

Minorants. Sets.5.8. Bayes formulas. covariance. Applications of probability theory to economic modelling. Sets A.3. Discrete and classical distributions. properties. Convexity Appendix A. Discrete bivariate random variables: marginal distributions. Cumulative distribution function: de…nition. Relations and functions A. Chebyshev inequality. Bibliography 65 67 69 71 73 75 77 77 80 83 84 85 89 92 94 99 101 105 107 . Chapter 11.iv Cristian Necul¼escu a Chapter 8. Operations with random variables. Conditional probability. moments. Properties.1. Sequences A. Expectation and variance. Usual Number Sets. Continuous random variables.4. * High School Revision A. 63 Chapter 9.9. Examples on the discrete case. conditional distributions. Topology Appendix C. Chapter 13. majorants A. Binary Logic A. Relations A.6.2. Total probability formula. Chapter 12. correlation. Moments of random variables. Functions of one variable Appendix. Symbols Appendix B. Chapter 14. Probability of a union/intersection of events. properties. Countability A. De…nition of a random variable. Classical probability schemes. Chapter 10. Functions A. Functions of random variables. Database applications for Logic. Probability density function: de…nition.7.

Part 1 Calculus .

dividends. As Murphy says. 1828 The starting point for the main body of these Lecture Notes is the level of knowledge given in Mathematics by "High School graduate.1. "Calculus –elementary integrals". 1. Broadly speaking. this means all "Precalculus". and it is shameful to base on them any demonstration whatsoever.1. 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]. 1. Example. continuity. De…nition (Informal)." Abel. insurance). In the Appendix it may be found a brief review of some of these topics. "Linear Algebra – linear systems. the sequence (Sn )n2N is called "the sequence of partial sums of the series".1. n 5 3 .2. graphs of functions". Introduction Consider a sequence of real numbers denoted (an )n2N . the number Sn de…ned by Sn = a1 + a2 + a3 + + an = k=1 of the series".g. still. 5n P 2n . 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. "Analytic Geometry". rings". "Geometry and Trigonometry". derivability.1. Series as an abstract mathematical model may be found in "Macroeconomics" representing "discrete dynamics" or "inde…nite discrete …nancial ‡ ows". with the maximum concentration on Mathematics".CHAPTER 1 In…nite series "Divergent series are the invention of the devil. You may see at the end of this chapter a little Macroeconomic model. t 1. "Calculus – limits.1. each of you is welcomed to ask questions and to comment.4. During the lectures and seminars. A series is an "in…nite summation" or (more precise) a "discrete in…nite summation" or a "countable in…nite summation". The symbol n=1 1 P an = a1 + a2 + Def + an + is called "series" or "real series" or "real in…nite series". the number an is called "the [general] term of the series". …elds.1.3. The sign " " comes from the capital greek letter "sigma". "Abstract Algebra – groups. De…nition (Formal). determinants". Remark. 1. you may …nd useful to keep close appropriate high– school texts. matrices. 1. "Science advances when the student asks and the teacher doesn’ know the answer".

1 P 1.4 !!! Pay attention at the …rst term (which is not always 0 or 1). since lim Sn = 5 we conclude that the series n!1 converges and the sum is 5 (the value of the limit). P lim an diverges: 1. converges") if the sequence (Sn )n2N is convergent (converges). 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.5. 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).1. [Divergence test] n!1 an 6= 0 ) n2N IF the general term does not tend towards zero. 1 P 3 2n 5n . 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 = 5.7. called "the nature of the series". 8n 2 N . P Proof.1. By contradiction: the statement (an 6! 0 ) an diverges) is logically equivalent with the n2N P statement ( an converges ) an ! 0).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. Example. it is advisable to separate the qualitative and quantitative studies.6. Between the sequences (an )n2N and (Sn )n2N there are certain recurrence relations: Sn+1 = Sn + an+1 (or an+1 = Sn+1 Sn ). We write The behavior of a series (convergent or divergent) is a qualitative information. The symbol an is called "convergent" (we say "it n=1 1.1. THEN the series diverges. When convergent we may also talk about the sum of the series. which is quantitative information [conditioned by the qualitative information]. Remark. As a general rule. De…nition (convergence/divergence). in this particular case we may 5k n+1 2 5 k =3 1 It may be seen that 9 lim Sn = 5.8. n=1 1. For the previous example. n!1 2 5 =5 1 " 2 5 n+1 # = Sn . 1 P an is divergent (diverges) if (Sn )n2N is divergent (diverges).

While …nite addition is associative. 3. Example: "0 = 1". when it exists. 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 . Thms. .1. it may change the value of the n2N n2Nnf0. Remark. The series diverges because the general term doesn’ tend t n=0 towards zero. Given a series.1. 3. n=0 sum. P 1. (3) While …nite addition is asociative. 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 .1. 1.1.13. 3.51 [14]). Remark (Algebraic operations with series. in…nite addition is not always associative. 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]. Still. careless grouping and regrouping of the terms of an in…nite addition is false and may lead to unexpected results. Remark. Remark. 1. Example.1.12.5 1. Remark.1. False line of reasoning: 1= = = = 1+0+0+ +0+ = 1 + ( 1 + 1) + ( 1 + 1) + (1 1) + (1 1) + + (1 0: ( 1 + 1) + 1) + = = 1. the rearrangement of the terms of an in…nite addition may alter both the qualitative and the quantitative results.10.11. Consider 1 P ( 1)n .50.47. this is not the case with in…nite addition. the sum of a series is unique [because the limit of a sequence is unique]. (2) While …nite addition is commutative.9.1. When the series an n2N P P P and bn are both convergent and 2 R. When convergent. some of them: (1) While …nite addition always exist. There are some signi…cant di¤erences between …nite and in…nite addition (summation).kg 1. This means that in…nite grouping of the added objects sometimes changes the nature of the in…nite summation.14.

16. In this result.3. 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. 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: . the following relations between the sums of series are valid: P P P (an + bn ) = an + bn . the middle term is the arithmetic mean of boundary terms) an = a1 + (n 1) d. Geometric Series: n n P P 1 rn ak = a1 rk 1 = a1 . [Used in Finance. 1 r k=1 k=1 P n convergent. 1) n2N 8 < 1 an+1 . Special cases 1. the qualitative part is: " P an and bn n2N P P n2N n2N 1. a 2 ( 1. The proof is based on translating the convergences in terms of ""– de…nitions".2. a a = 1: ( 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).2. 1) So lim Sn = 1 a n!1 does not exist or in…nite in rest. Arithmetic series: n n P P n (n 1) ak = (a1 + (k 1) d) = na1 + d 2 k=1 k=1 [Used in …nance. 1) a = divergent. compounded interest formulas] 1.2. r 6= 1. a 2 ( 1.15. Harmonic sequence (harmonic progression).1. Remark. is a sequence of numbers such that the ratio between two consecutive terms is constant (Alternative characterization: For any three consecutive terms. 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.1.6 moreover.2. Remark. Geometric sequence (geometric progression). an = a1 rn 1 .1.2. a 2 Rn ( 1. Arithmetic sequence (arithmetic progression). a 6= 1 2 3 n In fact Sn = 1 + a + a + a + +a = : 1 n. simple interest formulas] 1.

3 [3]). "Common sense" says that the distances Sn even if they are increasingly smaller. The number e.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). he will still win the race. e = 1 P 1 n=0 n! n 1. Then the 1 1 1 + . The number e is irrational. This is interpreted in the following manner: "Achilles will never outrun the Turtle.1. It is assumed that Achilles’speed is much bigger than the Turtle’ speed. 3. Consider the advance given by A in the form of s s distance S0 .4. A starts the race only when T covers S0 . they are always strictly positive. also see Section 1. Achilles (A) and the Turtle (T) race together. Then A starts and until he also covers S0 T already covers another distance called S1 . [14]). 1. In the time needed by A to cover the new distance S1 .2.32. so s common sense tells that even if Achille gives the Turtle an initial advantage.2. T covers a new distance S2 . because the Turtle will always have a strictly positive distance in advance". Example (Achille and the Turtle (Zenon paradox).3. [14]).2. 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. lim n!1 1+ 1 n = e. and so on. expected number of records is 1 + + + 2 3 n ak = n P n P 1. 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 . vA n=0 vA .2. 3. say that an observation is a "record" if it is the greatest of all (up to it).31. Theorem (Thm. 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 ).2. Theorem (Thm.

in the situation .8 1 .2. because of the in…nite number of terms. For the following telescoping series. by successive cancellation: 1. Example (Telescoping/collapsing series).5.6. 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 . It is convergent and n=1 n (n + 1) is a "telescopic series" in the sense that the sum may be calculated "elementary". it n n+1 n=1 k=1 k + 1 1 1 P 1 P 1 is wrong to write .2. Exercise. establish their nature and if convergent …nd the sum: 1 P 1 p =1 (1) p n+ n+1 n=1 .2. 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 .On the contrary. Example. Consider the series n n P P 1 1 .4. 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. 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.

2. 1. . With respect to the type of the general term: series % ! positive (an 0) & alternate (an = ( 1)n bn . 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.3. bn or an an+1 < 0 general (an 2 R) 0) 1.3.5. 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). there is pn b a the biggest index for which bk = ank (pn = max fn1 . bn is a rearrangement of the terms an . nk g). Then Sn Spn S a so passing to limit for n ! 1 it follows that S b S a .1. changing the order of the terms does not change the nature of the series or the value of the sum.9 (2) 1.2.1.48.2. 1. Proof.2. 1.5. The sum of these series always exists. Various series classi…cations. [3]). 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. A similar argument leads to S a S b so in fact S a = S b . denote it by S a ). . For a positive terms series.5. Theorem (Thm. k=1 k=1 . n P b The sequence of the partial sums Sn = bn is also an increasing sequence with limit S b . a The sequence of the partial sums Sn = 1 P bn a rearrangement of the …rst series (that is. but it may be in…nite (+1). Consider an arbitrary …xed index n. so it has a limit (which may be in…nite. Since b1 .

10 n2N P 1. For the series s n2N P an . P bn+1 an+1 for all n. Consider two series with positive terms P an and bn so that there is an index n0 2 N for which 0 an bn . 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. then: n!1 n 1. Thm. 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. Theorem (nth Root Test / Cauchy’ test. n2N n2N P P (2) If an diverges then bn diverges. 8n n0 . [3]). For the series s p If lim n an = L 2 (0. 1). an > 0. 1.62. (3) For L = 1 the test is inconclusive. Thm.52 [3]). and when Sn is unbounded Sn is unbounded too. p n+ n+1 1. 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. n2N n2N P P (2) If an diverges then bn also diverges.3.5. 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 (Ratio Test / D’ Alembert’ test. If 9 lim an = n!1 b P an and bn have both the same nature. n2N 1. an > 0.49.55.2. [3]). n2N Proof. 1.6. [3]). 1. 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. [3]).4. 1.3. Consider two series with positive terms P bn+1 an+1 8n n0 .65. it may be assumed that the inequality 0 an bn is valid for all n. Thm. Theorem (First Comparison Test. n2N n2N (1) For L < 1 the series converges. 1.3. Theorem (Ratio Comparison Test. . 1) then the series P an . Theorem (Limit Comparison Test. n2N Proof. Thm. 1. Again consider that to n = k 1 it follows that ak a0 to conclude the proof. Since the nature of the series does not change when substracting a …nite number of terms. P n2N n2N Then: P P (1) If bn converges then an converges. Thm. (2) For L > 1 the series diverges.3.3.3.

(2) Divergent if p 1.10.4. (3) For L = 1 the test is inconclusive. Theorem. The series P 1 with p 2 R is: p n2N n n2N have both the same nature. 1. P 1. 1)R! R+ continuous and P 1 (x) dx converges. then the series an .4. P P Proof. 1. 1.2. Thm. then: n!1 an (1) For L < 1 the series converges. P an .11 If lim an+1 = L 2 (0.4. Thm. Theorem (Cauchy Condensation Test. (2) If L < 1 then the series diverges. The p– series (1) Convergent if p > 1. Thm. (2) For L > 1 the series diverges. Theorem (Integral Test. Theorem (Raabe’ Test. 1. The series an is called conditionally convergent when it is convergent but not n2N absolute convergent.7. Theorem. Consider a function ( ) : [1. of absolute values). 2. convergent series so by The Comparison Test it is convergent. For a series s n2N suppose the limit lim n an 1 exist and is equal with L. (3) If L = 1 then the test is inconclusive. If an > 0 is eventually decreasing and the sequence nk P nk+1 nk is strictly increasing such that is a bounded sequence. so the previous section applies to it. 1. decreasing.3. If a series converges absolute then it converges (in the ordinary sense).8. De…nition. 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 . 11. Then the series (n) converges if and only if the improper integral 1 n2N 1.3.3 [3]). For a general series (with an 2 R) the series of absolute values is a positive terms series.3. P an with positive terms (an > 0).4. n2N 1. 2.11.4. Remark. Theorem (Schlömilch. Consider an absolute convergent series an .57 [3]). De…nition. Then: n!1 an+1 (1) If L > 1 then the series converges. [9]).4. Convergence tests for general series P P 1.3. The series an is called absolute convergent when jan j is convergent (the series n2N n2N 1.1. Thm.9. 1). an > 0 and nk nk 1 k n2N P (nk+1 nk ) ank have both the same nature.4 [3]). an > 0 and n2N P 2n a2n 1.3.3.

Sellgren MACROECONOMICS. De…nition. 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 . [3]). Theorem (Dirichlet).5. 8n (2) lim bn = 0.2. ( 1)n bn . .1. Theorem (Abel). n2N P an converges and (bn )n2N is a bounded monotone sequence then n2N P an b n 1. x=1 1 + x + x2 + + xn + n!1 1 P 2n + 2 3n + 5n 3n + 5n n=1 = lim (1 + x + x2 + + xn ) = ( . n2N 1. 1999.4. If converges.75. Theorem (Alternating series test / Leibniz. If an has bounded partial sums and (bn )n2N is monotone and lim bn = n!1 n2N P 0.5. Then the alternating series n2N 1.6. n!1 n0 . x 2 ( 1. n2N n2N 1. so it is their di¤erence: (an + jan j) n2N n2N n2N P P P jan j = (an + jan j jan j) = an . Convergence tests for alternating series P 1.4. Doepke. If: (1) 9n0 2 N. bn+1 P bn . 1. bn > 0.5. The series an is called alternating when an = ( 1)n bn . Thm.6.7. then an bn converges. x 6= 1 1 + x + x2 + + xn = 1 x : n + 1. bn > 0 converges.12 n2N P P P Then because the series (an + jan j) and jan j are convergent. n2N P 1. Lehnert.5. 1) 1 x 6 9 or 1 otherwise 1 1. A Macroeconomical Example Optional Macroeconomics Topic for Series: Chapter 3.

where it may buy (at price P ). the household may be considered "to live forever" (an inde…nite number of years). 1 p P 1 1. called "The household’ maximization problem". n=0 n!1 .8. –u ( ) is an increasing function of consumption. 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. called "the household’ consumption utility s function" 2 [0. the measurement unit for time may be "year" or a certain unspeci…ed "period of time". A similar result is valid when = lim (if it exists) and R = ).8. Power Series 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. Apply the root test (or the ratio test). Given a sequence of real numbers (an )n2N and a 2 R the series n=0 1 P 1.8. while keeping equal the present values of all future income and all future consumption".7. power series around a and the numbers an are the coe¢ cients of the power series. Theorem. the initial problem says: "…nd the maximum present utility and the consumption strategy to attain this. 1 means "a year from now" and so on). which bear interest R (1 USD invested gives the next period (1 + R) USD). 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).1. – = 1 means that the household cares equally about current inde…nite future consumption. sell (at price P ) and invest money to buy bonds on the bananas market. n!1 jan j Proof.1. – = 0:95 (a typical value) should mean that the household cares a little more about the present than the future consumption. –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 :) ). and not an individual. t –the household has access to a "bananas market".2. the discussion is about a "household". Example. With the above conventions. De…nition. A typical Macroeconomics model. s may look like this: 1 P t 1 max u (ct ) . the household uses a single commodity (say bananas) measured in quantities (kilos of bananas) both for income and consumption. Here we just mention the economical interpretations expressed by means of series: t 2 N means "(discrete) time" ( 0 means "now". subject to: 1. one di¤erence is that while an individual lives a …nite number of years. For the power series an (x a)n put = lim n jan j (if it exists) and R = .

n].14 1. (2) The (n + 1)th derivative exist on (a. a + R]j is called "convergence domain" and for each case it has to be decided if it is left/right open/closed.8. 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)!. n n+1 (n + 1) n (n ( ) f( ) P( ) g( ) = f ( ) P ( ) ( )n = 0. From TMVT for g (n) ( ) on [ . ( )n f( ) P( ) n (n 1) (n j + 1) ( )n j = 0. in the sense that P (k) ( ) = f (k) ( ). 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 ( ) „ . Thm 5. ) such that g 0 ( 1 ) = 0. (n + 1)! . The interval j[a R. 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 . ] there is 1 2 ( .15. Theorem (Taylor. meaning f( ) P( ) (n + 1)!. 8k = 0. [14]). 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.9.3 in [2]) for g ( ) on [ . 8j = 0.1. b). ) such that f ( ) = P ( ) + Proof. If: (1) The derivatives up to nth order exist and are continuous on [a. b] ! R and n 2 N . 8j = 0. 1. f( ) P( ) 1) (n j + 1) (x )n j . Taylor’ expansions s 1. P( ) (x )n+1 )n+1 .3. ( )n f( ) P( ) g( ) = f ( ) P ( ) ( )n = 0. f (n+1) ( n+1 ) = ( )n+1 f (n+1) ( ) For = n+1 it follows f ( ) = P ( ) + ( )n+1 . coincides” with f ( ) in . ( )n+1 From "The Mean Value Theorem" (TMVT) (for example Theorem 30.9. (3) < 2 [a. 1 ] there is 2 2 ( . b] (for a and b consider lateral derivatives). Then: 9 2 ( . Consider f ( ) : [a. Remark. n ) such that g (n+1) ( n+1 ) = 0. From TMVT for g 0 ( ) on [ . n ] there is n+1 2 ( .

ex = ( 1)n 2n+1 sin x = x . 8x 2 R n=0 (2n)! 1 P lnn a n ax = x . Some usual Taylor expansions.3.9. a + R]j. Then f (a + h) = h . 8x 2 R n=0 n! 1 P 1 x2n+1 .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 . jxj . a + R]j. Example.9.5. 1] n n=0 1 P 1 P xn . 8x 2 R n=0 (2n + 1)! n 1 P ( 1) 2n cos x = x . 8x 2 R n=0 n! 1 3 6 5 9 5 4 x + 8 8 4 x + 12 .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.2.15 1.9. Remark (Taylor Series). jxj 1 1 1. 8x 2 ( 1. Exercise. 8x 2 R n=0 (2n)! 1 P ( 1) ( n + 1) n x . for h 2 j[a R.9. 8x 2 R sinh x = (2n + 1)! n=0 1 P 1 2n cosh x = x . Solution. 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. n! n=0 1.4. 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 . 1.

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 + .