Magnitude of the level jump by a random walk at the superposition of two renewal processes (Q1079877): Difference between revisions

Let \(\{\theta_ n\}^{\infty}_{n=1}\), \(\{\eta_ n\}^{\infty}_{n=1}\), \(\{\kappa_ n\}^{\infty}_{n=1}\) and \(\{\alpha_ n\}^{\infty}_{n=1}\) be sequences of i.i.d. random variables, where \(\{\alpha_ n\}^{\infty}_{n=1}\) are exponentially distributed. Let \(S_ n=\sum^{n}_{k=1}\theta_ k\), \(W_ n=\sum^{n}_{k=1}\eta_ k\), \(\sigma_ n=\sum^{n}_{k=1}\kappa_ k\) and \(\delta_ n=\sum^{n}_{k=1}\alpha_ k\) for \(n\geq 1\), and let \(S_ 0=W_ 0=\sigma_ 0=\delta_ 0=0\). In the present paper the authors use the following notations: \(\nu_ t=\max \{k:\) \(\sigma_ k\leq t\}\), \(\mu_ t=\max \{k:\) \(\delta_ k\leq t\}\), \(\xi_ t=u+W_{\nu_ t}-S_{\mu_ t}\) \((u>0)\), \(\tau_ u=\min \{t:\) \(\xi_ t<0\}\), \(\gamma_ u=\xi_{\tau_ u}\). The distribution of \(\gamma_ u\) is obtained as \(u\to \infty\).