a)
has CDF


where the last equality follows from independence of
. In terms of the distribution and density functions of
, this is

Then the density is obtained by differentiating with respect to
,

b)
can be computed in the same way; it has CDF


Differentiating gives the associated PDF,

Assuming
and
, we have


and


I wouldn't worry about evaluating this integral any further unless you know about the Bessel functions.
Answer:
Rate of inflation = 1.4%
Step-by-step explanation:
Given:
Nominal interest rate = 4.2%
Real interest rate = 2.8%
Find:
Rate of inflation
Computation:
Rate of inflation = Nominal interest rate - Real interest rate
Rate of inflation = 4.2% - 2.8%
Rate of inflation = 1.4%