Saturday, 7 February 2015

limits - Convergence of a recurrent sequence defined by $a_n=(lambda*R-lambda*a_{n-1})/(1+a_{n-1})$

I hope someone here can help me. While studying an economics problem I came to a math problem that I can't solve. I'll try to put the problem as succinctly as possible.
I came to a sequence where the $n^{th}$ element is defined by:



$$a_n = (\lambda*R-\lambda*a_{n-1})/(1+a_{n-1})$$




where $R$ is a known positive real number. What I want to prove is that the sequence converge for values of $0<\lambda<1$ (negative lambdas do not make economic sense). This seems intuitively true based on the economics behind it. Also, I have run some simulations that tend to support this claim. However, I cannot get the proof right.



From this answer, I got the idea of making $a_n=p_n/q_n$, with $p_0=a_0$ and $q_0=1$ (In all honesty, I don't understand 100% this answer). Then study the system given by:



$$\begin{bmatrix}p_n\\q_n\end{bmatrix}=\begin{bmatrix}-\lambda&\lambda*R\\1&1\end{bmatrix}\begin{bmatrix}p_{n-1}\\q_{n-1}\end{bmatrix}$$



From there I immediately tried to prove the stability based on the trace and determinant of the matrix M: \begin{bmatrix}-\lambda&\lambda*R\\1&1\end{bmatrix}



However, from the stability conditions $tr(M)<0$ and $det(M)>0$ I get the results that $\lambda$ should at the same time be greater than 1 and $<0$, which is fairly easy to see. Those results would suggest that there are no values of $\lambda$ for which the system is stable. This seems to contradict some economic sense and also the simulations I have run.




I am incapable of getting out of this conundrum so far. My best guest is that I'm trying to prove the stability for the system \begin{bmatrix}p_n\\q_n\end{bmatrix}
and while those might not be stable, the ratio $p_n/q_n$ might be. And the ratio is actually the sequence I'm interested in.



All the best.

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