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Difference of normals exceeding a third normal

Question

Let XX, YY, ZZ be independent normal random variables, each with mean 1212 and variance 1212. The probability that X−YX-Y is larger than ZZ can be expressed as Φ(a)\Phi(a), where Φ\Phi is the standard normal CDF. Find aa.

Short answer

a=−2a=-2. W=X−Y−ZW=X-Y-Z is normal with mean 12−12−12=−1212-12-12=-12 and variance 3⋅12=363\cdot12=36. Then P(W>0)=P ⁣(W+126>2)=1−Φ(2)=Φ(−2)P(W>0)=P\!\left(\tfrac{W+12}{6}>2\right)=1-\Phi(2)=\Phi(-2).

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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