• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Expected Value

J

JohnnySinz

Member
How do we find the expected value of an exponential that has a Brownian motion in the power?

E.g.

exp{SIG*Wt - a*t} where Wt is Brownian and a is a constant.
 
If you ever find yourself trying to take expectations of \(e\) to the power of a random variable, then you're going to want to use the relevant moment generating function - that's exactly what they're there for :)
 
You must log in or register to reply here.
Back
Top