Ergodic distribution of an oscillating process with independent increments (Q1091681)

Let \(\xi_ i(t)\), \(\xi_ i(0)=0\), \(i=1,2\) are processes with independent increments and \[ k \ell n E e^{s\xi_ i(1)}=a_ is+\int^{\infty}_{-\infty}(e^{sx}-1)\Pi_ i\{dx\},\quad Re s=0, \] where \(a_ 1>0\), \(a_ 2<0\). Denote \(\tau_ i^{\pm}=\inf \{t:\pm \xi_ i(t)\geq \pm x\}\), \(\gamma_ i^{\pm}(x)=\pm (\xi_ i(\tau_ i^{\pm}(x))-x)\), \((\pm x\geq 0)\), \(\xi^+_ i=\sup_{u\geq 0}\xi_ i(u)\), \(\xi^-_ i=\inf_{u\geq 0}\xi_ i(u)\), \(m_ i^{\pm}=E \tau_ i^{\pm}(0)\) and \(\mu_ i^{\pm}=E \gamma_ i^{\pm}(0)\). For \(z\geq 0\) the oscillating process with independent increments is defined by \[ \zeta_ 2(t) = \begin{cases} z+\xi_ 1(t), & 0\leq t< \tau^-_ 1(-z), \\ -\gamma^-_ 1(-z)+ \xi_ 2(t-\tau^-_ 1(-z)), & \tau^- _ 1(z)\leq t< \tau_*, \\ \zeta_{\nu^+_ 2+ (\nu^-_ 1(-z))}(t- \tau_*), & t\geq \tau_*, \end{cases} \] where \(\tau_*= \tau^-_ 1(- z)+ \tau^+_ 2(\gamma^-_ 1(-z))\). For \(z<0\) the process \(\zeta_ z(t)\) is defined by analogy with the above. We assume that condition (A) is satisfied: (A): \(-\infty <m_ 1=M\xi_ 1(1)<0\), \(0<m_ 2=M\xi_ 2(1)<\infty\), \(\int^{\infty}_{0} x^ 2\Pi_ 2\{dx\}<\infty\), \(\int^{0}_{-\infty}x^ 2\Pi_ 1\{dx\}<\infty.\) Theorem. If condition (A) holds then for all z there exist \[ \lim_{t\to \infty} P\{\zeta_ z(t)<x\} = G(x),\quad -\infty <x<\infty \] and \[ \int^{\infty}_{-\infty}e^{sx} dG(x) = p M e^{s(\xi^+_ 1+\nu^+_ 2(\infty))}+ (1-p)Me^{s(\xi^-_ 2+ \nu^-_ 1(-\infty))},\quad Re\;s=0, \] where \(p=(m^+_ 2\mu^-_ 1+m^-_ 1\mu^+_ 2)^{-1}\mu^+_ 2m^-_ 1\).