Past exam of the mathematics course of the University of Cambridge / 2017 / ib / Paper 2 / 20H / b

Starting at zero, the next renewal is at time $Y_1$, and there are no intervening renewals because $Y_1\ge 1$. Thus the first return time obeys $T_0=Y_1$ in distribution, indeed under the original renewal construction. Its mean recurrence time isThe chain returns to zero almost surely and has a finite expected return time, so zero is a positive recurrent state. The assumption $\mu <\infty$ is what upgrades recurrence to positive recurrence.