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Hi! EveryoneI need to solve the integral h (see below) and I'd like to get some feedback from you. To make things clear let I(a1,a2,f) to be the integral of f between a1 and a2. If n(.) is the standard normal density, then the integral is:h=integral(-infinite,b,n(s)g(s))(integrating respect to s)where g(s)=integral(-infinite,a,n(z-s)) (integrating respect to z) therefore h is a doble integral.It would be ideal if there exits a closed form.Thanks!!

integration by parts, change the direction of integration... basically you have g(s) = N(a-s) in the standard notation, and integration by parts turns the integrand N'(s).N(a-s) into N'(a-s).N(s)... you should be able to change variables and get something likeIntegral = bdry terms - Integral

got it!Thank you very much!