Volume of the intersection of ellipsoids

By linear coordinate transform you can simplify the problem to a unit n-sphere intersecting with an ellipse that is aligned with the axes (i.e. not rotated).

The simple case is where you have a intersection in one continuous area only (rather than one ellipse poking through the other, which is more complicated, and I will ignore this general case). In that simple case, the intersecting hyper-plane can be found similarly as in https://math.stackexchange.com/questions/162250/how-to-compute-the-volume-of-intersection-between-two-hyperspheres

You can compute the cap of the n-sphere as in that question. The remainder is the intersection of the ellipsoid with the hyperplane. I think it should be possible to apply another linear coordinate transform, and get another n-sphere cap for the second term.

I'd myself be interested in the details of this solution though.