$\displaystyle X$ and $\displaystyle Y$ are random variables with standard deviation $\displaystyle \sigma_X=0.2$ and $\displaystyle \sigma_Y=0.2$. They are both distributed normally, with $\displaystyle \mu_X=\mu_Y=0$ and correlation $\displaystyle \rho_{XY}=-0.2$ (they are not independent).

(a) Find the standard deviations of 3X.

Is this just 3(0.2) = 0.6?

(b) Find the standard deviation of X - Y

How do I do this is X and Y are not independent? What is the formula for dependent RVs?

(C) What is $\displaystyle P(|X-Y|>1)?$

Thank you.