Probabilistic analysis with multi non-normal random variables requires multi-fold integration, for which closed form solutions do not exist and which is not amenable to numerical treatment. This paper presents an efficient probability analysis method using Fast Fourier Transform taking into account that (1) a probability density function and its characteristic function are a pair of Fourier Transform, and (2) the characteristic function of the sum of statistically independent random variables is given by the product of the characteristic functions of each random variable. The accuracy and applicability of the method are investigated using numerical examples.
