A semi-Markov process with an inverse Gaussian distribution as sojourn time

Let X_n denote the state of a device after n repairs. We assume that the time between two repairs is the time τ taken by a Wiener process {W(t), t ? 0}, starting from w₀ and with drift μ < 0, to reach c ∈ 0, w₀). After the nth repair, the process takes on either the value X_n?1 + 1 or X_n?1 + 2. The probability that X_n = X_n?1 + j, for j = 1, 2, depends on whether τ ? t₀ (a fixed constant) or τ > t₀. The device is considered to be worn out when X_n ? k, where k ∈ {1, 2, …}. This model is based on the ones proposed by Rishel (1991) 1] and Tseng and Peng (2007) 2]. We obtain an explicit expression for the mean lifetime of the device. Numerical methods are used to illustrate the analytical findings.