We have 4 random variables, A, B, C, D, beeing IID, following N(0,1).

What is the probability that min(A,B)>max(C,D) ? ( ou > is the same as the weight of a point in a
Riemannian integral is null)

Lets call : X=max(C,D) and Y=min(A,B). Using formula by Nadarajah and Kotz (2008)(1), we can state
that :

The pdf of X is () = 2. (). ()

The pdf of Y is () = 2. (). ()

We are looking for ( < )

( < ) = () () = [ ()] ()
= = = =

With :

2
() = 2 (). () = 2 (). () = [ ()] = ()
= = =

Thus :

( < ) = 2. (). (). 2 () = 2. (). (1 ()). 2 ()

= =

= 2. (). 2 () 2. (). 3 ()
= =

IPP :

= 2 () = ()
= 2. (). () = ()
With :

(). 2 () = +[ 3 ()]
2. (). 2 () = ()
= =

(). 2 () = 1/3
=

With :

2. (). 3 () = 2. (). (). 2 ()

= =

IPP :

= 2 () = ()
= 2. (). () = 2. (). ()
 2. (). 3 () = +[ 4 ()]
2. (). 3 ()
= =

2. (). 3 () = 1/2
=

Thus :
2 1 1
( < ) = =
3 2 6
With distributions :

With
1
(min(, )) =

1
(max(, )) =

(1) : Exact Distribution of Max/Min of Two Gaussian Random Variables