Let be cdf of and be cdf of ; and are pdf of and respectively.
This is called Log-Normal distribution.
I am supposed to fin the pdf f where is normal r.v. with parameters
The pdf of X is
(Sorry I can't get this to appear in tex for some reason)
If I integrate this function from negative infinity to ln(y), then differeniate with respect to y, I should get the function I seek.
However I am not sure how to integrate the normal distribution function, could someone please explain to me some way I way go about doing that?
Thank you for your help.