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I would like to compute the following expression in Wolfram alpha: $$\mathbb{E}[X-max(aX+b,0)] $$ where $X\sim N(\mu,\sigma^2)$ and $a,b$ are some constants.

Without constants, I can get the result with

expectation of (x-max(x,0)), x normal distributed

However, the following doesn't seem to work:

expectation of (x-max(ax+b,0)), x normal distributed

Do you know how I can get the general result with some arbitrary constants ?

Thanks in advance !

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I think your problem is "aX". This is interpreted as one variable name. You need a space between names. Then the following works:

Clear["Global`*"]
Expectation[x - Max[a x - b,0], x \[Distributed] NormalDistribution[mu, sig]]

enter image description here

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    $\begingroup$ Thanks for your response ! To compute this expression, I need Mathematica ? The online free Wolfram Alpha is not enough ? $\endgroup$
    – Wiles01
    Aug 5 at 10:23
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    $\begingroup$ I tried it on WolframAlpha, but it seems that WolframAlpha does not know about "Expectation" $\endgroup$
    – Daniel Huber
    Aug 5 at 13:19
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    $\begingroup$ @Wiles01 You can install the full version for free and use Jupiter notebook interface mathematica.stackexchange.com/questions/198839/…. $\endgroup$
    – yarchik
    Aug 5 at 15:21
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    $\begingroup$ True means: all other cases $\endgroup$
    – Daniel Huber
    Aug 5 at 16:10
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    $\begingroup$ You can get a simpler result if you simplify using the constraints on mu and sig required for the distribution to be valid, i.e., mu \[Element] Reals && sig > 0 $\endgroup$
    – Bob Hanlon
    Aug 5 at 16:43

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