Semi-Markov walk on the composition of two renewal processes (Q804095)

A semi-Markov random walk \(\xi_ t\) describing a superposition of two renewal processes is defined as follows. Let \(S_ N^{(i)}\) be the N-th sum of i.i.d. r.v.'s referring to the i-th renewal process, \(\nu_ i(t)\) be the number of renewals of the i-th process, \(i=1,2\). Define \(\xi_ t=\xi_ 0+S^{(1)}_{\nu_ 1(t)}-S^{(2)}_{\nu_ 2(t)}.\) A subject of the paper is a boundary functional which is a passage time of the level 0 by \(\xi_ t\) for different initial conditions \(\xi_ 0\). The author obtains an analytical expression for a generating function of the mentioned passage time given that the ``positive'' jumps of \(\xi_ t\) have an exponential distribution.