Skip to main content

TL;DR

Branching Process Extinction via PGF: A canonical quantitative trading interview question at olympiad difficulty. Commonly asked at Two Sigma, Citadel, DE Shaw.

By Valenke Exam Prep Team·Last updated 2026-06-01
olympiadGenerating Functions & Recurrences

Branching Process Extinction via PGF

Asked at: Two Sigma, Citadel, DE Shaw

Problem
In a branching process, each individual has kk offspring with probability pkp_k (k=0,1,2,k = 0, 1, 2, \ldots). The probability generating function is G(s)=pkskG(s) = \sum p_k s^k. Prove that the extinction probability qq is the smallest non-negative root of G(s)=sG(s) = s. If offspring is Poisson(λ\lambda), find the critical value and the extinction probability for λ=2\lambda = 2.

Ready to practice for the Valenke Finance Exam?

Adaptive practice powered by Item Response Theory targets your weak areas. Start with 3 free sessions.

Start free practice →