I recently read your reply regarding the support of the function coming up from the addition of two random variables. I am referring to the following post:
sum of random variables - help to evaluate support of function
My problem is similar. I know that variable is defined on and also that variable is defined on . I am interested in the difference . I am very confused however, since I think that the support of and hence the integration limits should be between . On the other hand, I think that the appropriate limits might be in the convolution integral. Therefore, my problem is determining the integration limits of the convolution integral in order to find .
Do you have any ideas? Your help will be greatly appreciated.