Exercise Solution 4.21
To calculate E(tX), we start with [4.53]:
[4.53]
Taking the unconditional expectation of both sides, we obtain
[s1]
[s2]
[s3]
[s4]
To calculate t–1E(tX), we again start with [4.53]:
[4.53]
Taking the conditional expectation of both sides, we obtain
[s5]
[s6]
[s7]
[s8]