Let $X_1$ and $X_2$ be independent and identically distributed continuous random variables, with probability density function
$$p(x)=\begin{cases} \exp(-x), & \text{if}\ x>0 \\ 0, & \text{otherwise}. \end{cases}$$
Let
$$Z=\frac{X_1}{X_1+X_2}+2X_2$$
Derive the probably density function of $Z$. It is sufficient to give the required pdf in the form of an integral of a joint pdf.
I have found the pdfs of $Y_1=\frac{X_1}{X_1+X_2}$ and $Y_2=2X_2$,
$$g(y_1)=\begin{cases} 1, & \text{if}\ 0<y_1<1 \\ 0, & \text{otherwise} \end{cases}$$
and
$$g(y_2)=\begin{cases} \frac12\exp\left(-\frac{y_2}{2}\right), & \text{if}\ y_2>0 \\ 0, & \text{otherwise}. \end{cases}$$
But now I cannot see how to find the transformation of $Z$ as $Y_1$ and $Y_2$ do not have a joint pdf and are not necessarily independent.
It's OK. Z is the sum and then the density is the convolution.
Exist this theorem: if $X_i$ are independent and $f_i$ borel-measuring functions, then $f_i(X_i)$ are independent