If I have a random variable X with a given Probability Density Function, How do I find the PDF of the area of a circle with radius X? To find the PDF of the area of the circle, do I just substitute the PDF of the random variable X in for the radius in the circle area equation?
 A: If we are careful, we can use cumulative distribution functions to solve this question.
Let $X$ be a nonnegative (I assume $X$ to be nonnegative because a negative radius is a bit senseless) random variable whose cumulative distribution function is given by $F_X:[0,\infty)\to[0,1]$.
If we define $Y=\pi X^2$,
then $Y$ is the area of a circle of radius $X$,
which is what we want.
If we let $F_Y:[0,\infty)\to[0,1]$ denote the cumulative distribution function of $Y$,
then for every $x\in[0,\infty)$,
we see that
\begin{align*}
F_Y(x)&=\Pr[Y\leq x]\\
&=\Pr[\pi X^2\leq x]\\
&=\Pr\left[X^2\leq \frac x{\pi}\right]\\
&=\Pr\left[X\leq \sqrt{\frac x{\pi}}\right]&\text{(since $X$ is nonnegative)}\\
&=F_X\left(\sqrt{\frac x{\pi}}\right).
\end{align*}
Now comes the point where we relate the distributions to the densities, which is where we have to be careful. If we assume that $X$ has a density $f_X$, then we may assume that $F_X$ is absolutely continuous and that $$\frac{d}{dx}F_X(x)=f_X(x)$$
almost everywhere. Furthermore, given that $x\mapsto\sqrt{\frac{x}{\pi}}$ is absolutely continuous (see here) and nondecreasing, then the composition
$$F_Y(x)=F_X\left(\sqrt{\frac x{\pi}}\right)$$
is absolutely continuous (the fact that $x\mapsto\sqrt{\frac{x}{\pi}}$ is nondecreasing is of utmost importance, since compositions of absolutely continuous functions are not absolutely continuous in general).
Now, since $F_Y$ is absolutely continuous,
we conclude that it has a density $f_Y$ which is given by
$$\frac{d}{dx}F_Y(x)=f_Y(x)$$
almost everywhere.
The above derivative can easily be computed using the chain rule.
