I have a question concerning the calculation of the probability of an event among multiple probability distributions. Let's say we have two continuous probability distributions $D_1$ and $D_2$, given by the functions $f_1$ and $f_2$, respectively, and their two random variables $X_1$ and $X_2$, belonging to $D_1$ and $D_2$, respectively. I would like to know how to calculate the probability of $x_1 + x_2 > T$, i.e., $P(x_1 + x_2 > T)$.
Thanks for your attention, case my notations are not understandable or any point is not clear, please let me know.
ps.: I am not a mathematician.