Sunday, 30 August 2015

probability - Evaluating intiinftynftyetx2frac1sqrt2pisigmaexp[fracx22sigma2]dx

I have so far M(t)=E(etX2)=etx212πσexp[x22σ2] dx=12πσexp[x2(1t)2σ2] 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)=(12σ2t)1/2

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