Suppose that $X\sim N\left(a,\mbox{ }\sigma^{2}\right)$, what is $E\left\{ \left[1\left\{ X>b\right\} \exp\left(X\right)\right]^{2}\right\}$?
$b$ is a constant.
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Do you make this notation yourself? Does it trouble you that the question appears inconsistent with the title? – wolfies May 15 '14 at 16:00
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Yes, I made this notation by myself. I just don´t know how to get an analytical expression for this expected value. – user150272 May 15 '14 at 16:18