sum of two random variables Can any of you help me? I have some problem with this exercise of "Probability and Statistics" : > Calculate the probability density function (PDF) of $Z=X+Y$ > > where $Y$ is discrete random variable which is be equal to $-1,1$ with equal probability; $X$ is standard Gaussian random variable independent from $Y$. I know that the PDF of sum of two continuous independent variables is given by the convolution of the marginal PDF $f_z(z)=f_x*f_y$ but if one on the two variable is discrete what should I do? thanks all!

If one variable is discrete, you can use the Dirac delta function to preform the integration: $$P(X=x) = \frac{1}{2}\delta(x-1) + \frac{1}{2}\delta(x+1)$$ Down-votes from purist mathematicians in 3.. 2.. 1..