Here is a start:

(a) The cdf of Y is:

(assuming a > 0)

where f(x) is the pdf of x.

Therefore the pdf of Y is:

using the Fundamental Theorem of Calculus and the chain rule

You can do (b) in a similar way (the result is a chi-squared distribution with 1 df).

For (c), read 7.2 here: http://www.dartmouth.edu/~chance/tea...k/Chapter7.pdf