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Let $\phi(\cdot)$ and $\Phi(\cdot)$ be the probability and cumulative density functions, respectively, of a random variable with distribution $\text{N}(0,\,1)$. I was wondering if you could help me to compute
$$\int_{-\infty}^{w}\phi(x)\cdot\Phi(a+b\cdot x)\,\text{d}x\mbox{,}$$ where $(a,\,b,\,w)\in\mathbb{R}^3$ and $b\neq 0$, please. Thanks a lot for your help.

Rodrigo Rodriguez
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  • I find this one and delete my answer, when i read comments, I cannot help laughing, math.stackexchange.com/questions/381308/… The idea is to express $e^{−x^2/2}$as Maclaurin series, I think – – Deep North Oct 20 '17 at 12:30
  • Hi, @DeepNorth. I am looking for a closed-form expression for the integral in the question because integrals decrease the efficiency of an algorithm I am programming in R-software. After examining the answer provided in the link, I do not know whether it will contribute to improve the efficiency of my algorithm. I will have a try. Thanks. – Rodrigo Rodriguez Oct 20 '17 at 12:40
  • An appropriately chosen series may converge extremely rapidly. Alternatively, consider a saddlepoint approximation: this kind of integral is particularly amenable to that approach. – whuber Oct 20 '17 at 13:25
  • Thanks for the suggestion, @whuber. I will spend some time learning about saddlepoint approximations before approximating the integral in the question. – Rodrigo Rodriguez Oct 20 '17 at 13:37
  • Hi, nice people. This question was answered [here](https://mathoverflow.net/questions/283928/closed-form-solution-for-an-integral-involving-the-p-d-f-and-c-d-f-of-a-n0-1). – Rodrigo Rodriguez Oct 22 '17 at 07:33

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