Let X1, X2, X3 and X4 be independent normal random variables with zero mean and unit variance. The probability that X4 is the smallest among the four is
Since X1,X2,X3 and X4 are independent normal random variable with zero mean and unit variance then
P(X4 is smallest)=P(X3 is smallest)
=P(X2 is smallest)=P(X1 is smallest)=P
P(X4 is smallest)=P4P=14=0.25