Sunday 30 August 2015

probability - Evaluating $int_{-infty}^infty e^{tx^2} frac{1}{sqrt{2pi} sigma} exp [ frac{-x^2}{2sigma^2} ] dx$

I have so far $$M(t) = E(e^{tX^2}) = \int_{-\infty}^\infty e^{tx^2} \frac{1}{\sqrt{2\pi} \sigma} \exp \left[ \frac{-x^2}{2\sigma^2} \right ] \ dx = \int_{-\infty}^\infty \frac{1}{\sqrt{2\pi}\sigma} \exp \left [ \frac{-x^2(1-t)}{2\sigma^2} \right ] \ dx$$




I've tried numerous substitutions and playing around but with no luck. There is a hint to use the fact that the integral of any density of a normal dist. is $1$.



Any help please



edit: answer should be $$ M(t) = (1-2\sigma^2 t)^{-1/2}$$

No comments:

Post a Comment

real analysis - How to find $lim_{hrightarrow 0}frac{sin(ha)}{h}$

How to find $\lim_{h\rightarrow 0}\frac{\sin(ha)}{h}$ without lhopital rule? I know when I use lhopital I easy get $$ \lim_{h\rightarrow 0}...