Exercise Solution 4.21

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]

 
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