What is the pdf of sum of log-normal and normal distribution?

Question

The question goes like this: $Z = X+Y$; where

$X$ is Log-normal Random variable with parameters - $\mu = 0 \quad \sigma^2= 1$,

$Y$ is Gaussian Random variable with $\mu= 0\quad \sigma^2= 1$

What is the pdf of $Z$? I know it will be the convolution of $X$ and $Y$. However, I am unable to solve it. Is it even solvable?

PS: $X$ and $Y$ are independent.

Answer 1

By saying convolution, you mean the two random variables $X$ and $Y$ are independent and the joint probability density function of them can be represented as the convolution of their pdfs.

Let $X$ be the log-normal random variable, and $Y$ the normal one, the pdf's of which are as below in the figure.

The probability density function of $Z=X+Y$ cannot be represented in closed form, but the numerical results of the pdf $f_Z(x)$ can be evaluated by numerical integral.

$$f_Z(x)=\int_{-\infty}^{+\infty}f_X(t)\cdot f_Y(x-t){\rm{d}}t=\int_{t=0}^{+\infty}\dfrac{e^{-\tfrac{1}{2}\left( (t-x)^2+{\ln^2t}\right)}}{2\pi t}{\rm{d}}t$$

So a better way to answer this question might be to visualize them as below:

Hope this is helpful.