We consider the Hankel determinant generated by the Gaussian weight with two jump discontinuities. Utilizing the results of Min and Chen [Math. Methods Appl Sci. 2019;42:301-321] where a second-order partial differential equation (PDE) was deduced for the log derivative of the Hankel determinant by using the ladder operators adapted to orthogonal polynomials, we derive the coupled Painlevé IV system which was established in Wu and Xu [arXiv: 2002.11240v2] by a study of the Riemann-Hilbert problem for orthogonal polynomials. Under double scaling, we show that, as 𝑛→∞, the log derivative of the Hankel determinant in the scaled variables tends to the Hamiltonian of a coupled Painlevé II system and it satisfies a second-order PDE. In addition, we obtain the asymptotics for the recurrence coefficients of orthogonal polynomials, which are connected with the solutions of the coupled Painlevé II system.