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Subject:
Closed form solution for an integral involving cumulative normal
Category: Miscellaneous Asked by: ma27-ga List Price: $20.00 |
Posted:
07 Sep 2006 12:04 PDT
Expires: 07 Oct 2006 12:04 PDT Question ID: 763111 |
Can anyone solve the integral below, ie, get a closed form solution? Let N(x) denote the normal cumulative distribution, n(x)=N' the normal density function (n(x)=1/Sqrt(2 pi)*exp(-.5 x^2)), then this integral can be solved: Integral {N(x) n(x)} dx = 1/2*N(x)^2 Does anybody knwo how the following, very similar integral can be solved in closed form: Integral {N(x) n(x+c)} dx = ? [c is a constant] Thanks, Martin |
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