I am finding the probability density function $$ X=2T\_1+T\_2.$$ $T\_1,T\_2$ are independent with density function of $$f(t)=e^{-t}, t>0.$$ So what I did is find the $f(x)$ by using this integration: $$\int\_{0}^{\infty} e^{-t\_1}\cdot e^{-(x-2t\_1)} dt\_1.$$ May I know why did I go wrong, thx so much.