scientific article; zbMATH DE number 1515761
Suppose \(\{(\xi_i,\eta_i)\}, i=1,2,\dots{}\), is a sequence of identically and independently distributed pairs of positive random variables. Set \[ T_0=Y_0=0, \quad T_n=\sum_{i=1}^n \xi_i, \quad Y_n=\sum_{i=1}^n \eta_i. \] Denote by \(\chi_n\) the following sequence of random variables with `screens': \[ \chi_0=z\in[0,\beta],\quad \chi_n=|\min\{\beta, \chi_{n-1}+\xi_n\}-\eta_n|,\;n=1,2,\dots{} \] Then the process \(X(t)\) mentioned in the title is defined as follows \[ X(t)=\min\{\beta, t+\chi_{n-1}-T_{n-1}\}, \text{ when } t\in [T_{n-1},T_n), n=1,2\dots{} \] The main result of the paper gives an expression for the Laplace transform of the one-dimensional distribution function of \(X(t)\) in terms of the characteristics of the renewal processes \(\{T_n\}\) and \(\{Y_n\}\). For the entire collection see [Zbl 0942.60001].
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