Hi, I'm searching for calculate some integrals with gaussians, or with normal distributions. Let's define : phi_A(x) the normal distribution with std=igma_A and mean=u_A. phi_B(x) the normal distribution with std=igma_B and mean=u_B. PHI_A(x) the cumulative of phi_A(x). PHI_B(x) the cumulative of phi_B(x).
So I want to get the mean of phi_A*PHI_B (and variance, as well). Therefore, I have to calculate this integral :