 Solution

Differentiate the cumulative distribution function for $y>0$, using ${\Phi }^{\prime }(z)=(2\pi {)}^{-1/2}{e}^{-z^2/2}$ and $d\sqrt{2y}/dy=1/\sqrt{2y}$. The probability density function isIts value at zero can be assigned arbitrarily without changing any probability. Although this probability density function diverges as $y\downarrow 0$, $F_Y(0)=0$ and there is no point mass at zero. Equivalently, $Y$ has a gamma distribution with shape $1/2$ and rate one.