Hallo everybody,

is there any chance to compute the following expectation explicitly? (I don't think so. Am I right?)

where

is a normally distributed r.v.

a constant

constants

Actually, I want to maximize the expectation w.r.t over the interval ( is non-random). I know that the maximum exists since is concave and the interval compact. But does anyone has an idea how to compute the maximum?

Thanks in advance