Convolution of weighted uniformly distributed random variables

convolutionrandom variablesuniform distribution

I have problems with deriving the CDF of a weighted difference of iid uniformly distributed random variables.

Assume that $X_1$ and $X_2$ $\stackrel{iid}{\sim} U[0,1]$. Define Z = $a\cdot X_1 – X_2$, where $a > 0$. How can I derive $P(Z<z)$? I was struggling with applying the general definition of a convolution on my particular case…

Thanks in advance!

Best Answer

Hint:

For fixed $z$:$$\mathsf P(Z<z)=\int_0^1\int_0^1[ax-y<z]dydx$$ where $[ax-y<z]$ is the function $\mathbb R^2\to\mathbb R$ taking value $1$ if $ax-y<z$ and taking value $0$ otherwise.