Exercise 3.16 Let (X, Y ) be any bivariate normal random variable. For any function f(x) for
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Exercise 3.16 Let (X, Y ) be any bivariate normal random variable. For any function f(x) for which the following expectations exist, show that
where C[X, Y ] denotes the covariance between X and Y .
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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