I encounterred a question on Stochastic Calculus as following, but I don't understand the meaning of $\mathcal{N}$ here, can any expert explain it?
$\mathbb{E}[\mathcal{N}(W_t)]=?$ where $W_t$ is standard Brownian Motion.
A follow-up is $\mathbb{E}[\mathcal{N}(W_t+a)]=?$ I was also blocked by the meaning of $\mathcal{N}$.