X~N(0,1), Y=X^2~\chi^2(1), find E(XY).
My thoughts are in the following:
To calculate E(XY), I need to know f(x,y), since E(XY)=\int{xyf(x,y)dxdy}. To calculate f(x,y), I need to know F(x,y), since f(x,y)=d(F(x,y)/dxdy.
F(x,y)=P(X\leq x, Y\leq y) \\
=P(X\leq x, X^{2} \leq...