Past exam of the options II course of the University of Oxford / 2004 / M / M3 / a

The moment-generating function of a random variable $X$ is $M_X(t)=\mathbb{E}[e^{tX}]$ wherever this expectation is finite. Existence on an open interval containing zero is the condition needed for the usual uniqueness and convergence theorems. For the exponential distribution with rate $\lambda >0$,For $t\ge \lambda$ the integral diverges. Differentiating at zero gives mean $1/\lambda$ and variance $1/{\lambda }^2$.