Suppose T1,T2...Tn are i.i.d. nonnegative random variable with pdf f(t).
For two fixed positive value a and b, I have to compute the following
probability, could you plz give some suggestins? Thanks.
Pr(T1+T2+...Tn < a, T1<b,T2<b...Tn<b) = ?
My solution:
Pr(T1+T2+...Tn < a, T1<b,T2<b...Tn<b) =
\int_0^{b} f(t1) \int_0^{b} f(t2) ... \int_0^{a-t1-t2-...-t_{n-1}} f(tn) dtn
dt_{n-1} ...dt1
But it seems impossible to compute the integral.
--
ZHANG Yan
http://www.ntu.edu.sg/home5/pg01308021
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