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Let $(X,Y,Z)$ have a multivariate normal distribution:

\begin{align} (X, Y, Z) \sim N\left(\begin{pmatrix} 0 \\ 0 \\ 0 \end{pmatrix}, \begin{pmatrix} 1 & \rho_{xy} & \rho_{xz} \\ \rho_{xy} & 1 & \rho_{yz} \\ \rho_{xz} & \rho_{yz} & 1 \end{pmatrix}\right) \end{align}

I'm trying to find the conditional expectation of the following:

$$E[X| Y > \tau_Y, Z > \tau_Z]$$

where $\tau_X$ and $\tau_Y$ are constants.

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