Disjunction and continuous pdfs
Message posted by Sam Staton (via 194.82.103.78) on July 13, 2001 at 4:29 PM (ET)

I'm confused, and I'm sure there is a simple solution.

Basically, I've got a number (say n) of strategies, and I know the pdf's that are p(StrategyN takes time t) for all t (as it happens, they're all Gaussian).

What I need, is the pdf p(Can be done in time t), which equals p(Strategy1 takes time t OR Strategy2 takes time t OR ...). I tried using the inclusion/exclusion rule for disjunction, but the result is a function whose integral (over all t) is more than 1.

Does this make sense? Can anybody help?

Thanks

Sam