Assume that the left-hand side of Wald’s fundamental identity permits differentiation with respect to t twice under the expectation in an open interval containing zero. (a) Show that the first...

Assume that the left-hand side of Wald’s fundamental identity permits differentiation with respect to t twice under the expectation in an open interval containing zero. (a) Show that the first derivative leads to Wald’s equation. (b) What identity can you derive from the second derivative?