The positive random variable X is said to be a lognormal random variable with parameters and 2 if log(X) is a normal random variable with mean and variance 2 Use the normal moment generating function to find the mean and variance of a lognormal random variable ...

Let Y logX Since Y is normal with mean and vari ...

The positive random variable X is said to be a lognormal random variable with parameters and

Question:

The positive random variable X is said to be a lognormal random variable with parameters μ and σ2 if log(X) is a normal random variable with mean μ and variance σ2. Use the normal moment generating function to find the mean and variance of a lognormal random variable.