Seminars

Large Deviations for a Randomly Indexed Branching Process with Applications in Finance

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Sheng-Jhih Wu

2012-04-12
11:00:00 - 12:00:00

308 , Mathematics Research Center Building (ori. New Math. Bldg.)

We consider a branching process subordinated by a Poisson process. In the literature, this random-generation branching process has been employed to model the evolution of stock prices and applied to options pricing. The large deviation behavior of this branching process is explored for the first time in the present study. We mainly investigate the convergence of large deviation probabilities of the ratio of successive generation sizes away from the expected number of children of each individual. Some other related asymptotics for this randomly indexed branching process are also obtained.