Hi,
I used Fundementals of probability and stochastic processes by Dr. SAEED GHAHRAMANI. It was a good book, detailed with a lot of examples and you can find others too.
Hello!
I have the following problem. Let X ~N(m,s^2) and define:
Y = N(X)
Z = e^{aX+b} N(X),
where N is cumulative distribution function for standarized normal distribution (i.e. N(x)=\int_{-\infty}^x \frac{1}{\sqrt{2\pi}} e^{-0.5 t^2} dt)
What are the expectations of Y and Z (EY and EZ).
(I know the answer but I am looking for advice/literature how to calculate this)