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Debt Crises and Financial Crises Math Formulae

This document provides formulas and rules for derivatives and integrals in calculus. It also describes how to take the derivative of an expected value of a maximum function when the maximum is defined over different intervals depending on a threshold value.

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Hà Nguyễn
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21 views3 pages

Debt Crises and Financial Crises Math Formulae

This document provides formulas and rules for derivatives and integrals in calculus. It also describes how to take the derivative of an expected value of a maximum function when the maximum is defined over different intervals depending on a threshold value.

Uploaded by

Hà Nguyễn
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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AS.180.

332 Useful Rules and Formulae From Calculus

Stelios Fourakis

January 26, 2024

1 Derivatives
Formulae:

d n d
x = nxn−1 c=0
dx dx
d 1 d 1 1
ln(x) = loga (x) =
dx x dx ln(a) x
d x d x
e = ex a = ln(a)ax
dx dx

Rules:

d  d 
c ∗ f (x) = c ∗ f ′ (x) f (x) + g(x) = f ′ (x) + g ′ (x)
dx dx
d  d  f (x)  f ′ (x)g(x) − f (x)g ′ (x)
f (x)g(x) = f ′ (x)g(x) + f (x)g ′ (x) =
dx dx g(x) g(x)2
d 
f (g(x)) = f ′ (g(x))g ′ (x)
dx

1
2 Integrals
Formulae:
Z Z
1 1
x dx = xn+1 + C when n ̸= −1
n
dx = ln(x) + C
n x
Z Z
1 x
ex dx = ex + C ax dx = a +C
ln(a)
Z Z
1
ln(x)dx = xln(x) − x + C loga (x)dx = (xln(x) − x) + C
ln(a)

Rules:
Z x
f ′ (x)dx = f (x) − f (0)
Z0 x
d
f ′ (t)dt = f ′ (x)
dx 0
Z b(x) Z b(x)
d ′ ′
f (x, t)dt = b (x)f (x, b(x)) − a (x)f (x, a(x)) + fx (x, t)dt
dx a(x) a(x)
Z Z
udv = uv − vdu

3 Derivatives of Expected Values of a Maximum


Suppose you want to derive the following with respect to x:

Z b
max{u(c(x)), u(h(t))}f (t)dt
a

And you know that there is a t̂(x) such that:

1. u(c(x)) = u(h(t̂(x)))

2. When t ≤ t̂(x), u(c(x)) ≥ u(h(t))

3. When t ≥ t̂(x), u(c(x)) ≤ u(h(t))

2
Then the integral can be written as:
Z b
(F (t̂(x)) − F (a))u(c(x)) + u(h(t))f (t)dt
t̂(x)

where F (t) is the antiderivative of f (t). The derivative of the above with respect to x is:

(F (t̂(x)) − F (a))u′ (c(x))c′ (x)

When F (a) = 0, this just becomes:

F (t̂(x))u′ (c(x))c′ (x)

If the t̂(x) is instead a value such that:

1. u(c(x)) = u(h(t̂(x)))

2. When t ≤ t̂(x), u(c(x)) ≤ u(h(t))

3. When t ≥ t̂(x), u(c(x)) ≥ u(h(t))

(Now u(c(x)) is larger than u(h(t)) to the right of t̂(x), rather than to the left.)

Then the integral can be rewritten as:

Z t̂(x)
(F (b) − F (t̂(x)))u(c(x)) + u(h(t))f (t)dt
a

The derivative of the above with respect to x is:

(F (b) − F (t̂(x)))u′ (c(x))c′ (x)

When F (b) = 1, this just becomes:

(1 − F (t̂(x)))u′ (c(x))c′ (x)

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