Here is exercise 21.15.

(Updated solution file on 14 August 2010)

There were some slight errors in my solution file which I have now corrected.

I solved it more-or-less similarly.

The essential differences were only that I used the results of Exercise [21.11] to first transform my integral, and that I used the fact that the area under a normal distribution is 1, rather than using the result of Exercise [12.10] (but that amounts to the same thing).

However, neither of us have used the results of Exercise [21.13] or [21.14] in our solutions, as the question asked us to do.

Does anyone have any idea how this might be solved using the results of Exercise [21.13] and [21.14]? (because I don't!)