RV1 = scipy.stats.expon()
RV2 = scipy.stats.expon()
delta = 0.001
max_val = 0
while max(RV1.cdf(max_val), RV2.cdf(max_val)) < 0.999:
    max_val += 1
s_vals = np.arange(0,max_val, delta)
RV1_vals = RV1.pdf(s_vals)
RV2_vals = RV2.pdf(s_vals)
convolve_RV1_RV2 = np.convolve(RV1_vals, RV2_vals, 'same') * delta