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math.PR2026
Large Deviations for Controlled Branching Processes: Random Slopes, Harmonic Moments, and Transfer Principles
Miguel González, Carmen Minuesa, Inés del Puerto +1
Let \(\{X_n:n\ge0\}\) be a controlled branching process with controls \(ϕ_n\), and let \(N_n=ϕ_n(X_n)\) be its progenitor count. We study large deviations of \(X_{n+1}/N_n\), \(N_n…
math.PR2025
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
Fengnan Deng, Anand N. Vidyashankar, Jeffrey F. Collamore
We obtain sharp large deviation estimates for exceedance probabilities in dependent triangular array threshold models with a diverging number of latent factors. The prefactors quan…