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Second moment and MGF of a Gaussian

Question

Let X∼N(μ,σ2)X\sim N(\mu,\sigma^2). Find E[X2]\mathbb{E}[X^2] and, for a constant λ\lambda, E[eλX]\mathbb{E}[e^{\lambda X}].

Short answer

E[X2]=μ2+σ2\mathbb{E}[X^2]=\mu^2+\sigma^2 and E[eλX]=eλμ+λ2σ2/2\mathbb{E}[e^{\lambda X}]=e^{\lambda\mu+\lambda^2\sigma^2/2}. The first is Var⁡(X)+(EX)2\operatorname{Var}(X)+(\mathbb{E}X)^2. For the second, complete the square in the Gaussian integral; this is the moment generating function.

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.37, p.84; question and answer rewritten by SelfMadeQuant.com.

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