Yi(t) ~ N(u, s^2) --> M_Yi(t) = Exp( t*u + s^2 t^2 /2) : s = sigma, i=1,2,...,n Y = (Y_1 + Y_2 + ...+Y_n) / n --> M_Y(t) = M_Y1(t/n) * M_Y2(t/n) *...*M_Yn(t/n) = Exp( t*u + s^2 t^2 /2n) = Exp( t*u + s'^2 t^2 /2) : s' = s / Sqrt[n] Y ~ N(u, s^2 / n)
答：二重积分换元法呀，找教科书看一下，代一下换元公式而已：详情>>
答：详情>>
