Hi,

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.

BR,

Alex