The question is as follows:
Suppose that X1 and X2 are independent, identically distributed exponential random variables. Determine the PDF for for X1 - X2.
I understand that because X1 and X2 are IID, they have the same parameter and the same distribution. In this case, it is an exponential distribution. I am also under the assumption that I will need to use some variant of the PDF of the regular distribution:
Other than this, I am not certain how to solve this. Thank you.