Comment #2 on issue 3711 by [email protected]: probability() should handle union and intersection of conditions as well as point conditions
http://code.google.com/p/sympy/issues/detail?id=3711

Normally one calls integrate with the syntax

integrate(function, (symbol, lower-bound, upper-bound))
e.g.
integrate(x**2, (x, 0, 1))

sympy.stats uses the alternative syntax

integrate(function, (symbol, set))
e.g.
integrate(x**2, (x, Interval(0, 1)))

It looks like this is only supported when the set is an Interval. This logic is handled in sympy/integrals/integrals.py:_process_limits()

Ideally _process_limits would also handle Unions, FiniteSets, and potentially more bizarre sets. I don't think that this logic should be in sympy.stats. I think it should live in integrals.py.

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