Appendix (4) — the limit of $U(p,x)$ as $p\to1$ is $u(\mu_x)+\tfrac{\sigma_x^2}{2}\lim_{y\to-\infty}u''(y)$

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Appendix (4) — the limit of $U(p,x)$ as $p\to1$ is $u(\mu_x)+\tfrac{\sigma_x^2}{2}\lim_{y\to-\infty}u''(y)$ · Prove2Me