As in the reference reported by Mr Fantastic if X and Y are independent random variables with p.d.f. and , then the random variable has p.d.f...
(1)
If X and Y are exponential random variables then...
(2)
(3)
... where u(*) is the Haeviside Step Function and (1) becomes after some steps...
(4)
Surprisingly simple!...
Marry Christmas from Serbia