Many problems in Probability give rise to difference equations. Difference equations relate
to differential equations as discrete mathematics relates to continuous mathematics.
Anyone who has made a study of differential equations will know that even supposedly
elementary examples can be hard to solve. By contrast, elementary difference equations
are relatively easy to deal with.
Aside from Probability, Computer Scientists take an interest in difference equations for a
number of reasons. For example, difference equations frequently arise when determining
the cost of an algorithm in big-O notation. Since difference equations are readily handled
by program, a standard approach to solving a nasty differential equation is to convert it
to an approximately equivalent difference equation.