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 offspring with probability (). The probability generating function is . Prove that the extinction probability is the smallest non-negative root of . If offspring is Poisson(), find the critical value and the extinction probability for .
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