Added my Rohatgi result to the post.
I have two continuous random variables X and Y. X follows an Exponential distribution with rate , and Y follows a Normal distribution with and . The domain of X is , and that of Y is .
I have come up with the following expression for the pdf of V=XY.
Using the result of Rohatgi (1976, p. 141)
Do you have any suggestions on how to solve this (analytically)?