Exercise 3.17 Let (X, Y ) be any bivariate normal random variable. For any differentiable function g(x)
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Exercise 3.17 Let (X, Y ) be any bivariate normal random variable. For any differentiable function g(x) for which the following expectations exist, show that
When X = Y, in particular, obtain Stein’s lemma (Proposition 3.2).
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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