Random walk with Poisson drift (Q801609)

Let \(\{\theta_ n\), \(n\geq 1\}\), \(\{\chi_ n\), \(n\geq 1\}\) and \(\{\alpha_ n\), \(n\geq 1\}\) be three families of i.i.d. random variables and \(s_ n=\sum^{n}_{k=1}\theta_ k\), \(\sigma_ n=\sum^{n}_{k=1}\chi_ k\), \(\delta_ n=\sum^{n}_{k=1}\alpha_ k\), \(n\geq 1\), \(s_ 0=\sigma_ 0=\delta_ 0=0\). Using the renewal processes \(\nu_ t=\max \{k:\delta_ k\leq t\}\), \(\mu_ t=\max \{k:\sigma_ k\leq t\}\), the authors consider the random walk \(\xi_ t=\nu_ t-s_{\mu_ t}+\xi_ 0\) and study the functional \(\tau_ r=\min \{t:\xi_ t<0| \xi_ 0=r>0\}\).