I have so far M(t)=E(etX2)=∫∞−∞etx21√2πσexp[−x22σ2] dx=∫∞−∞1√2πσexp[−x2(1−t)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)=(1−2σ2t)−1/2
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