
I am an (tenure-track) associated professor at School of Mathematics and Statistics, Beijing Institute of Technology, July 2023.
From April, 2017 to Sep, 2020, I was a postdoctoral researcher (Supported by Alexander von Humboldt Foundation) in Department of Mathematics, Humboldt-Universität zu Berlin. From Oct, 2020 to June, 2023, I was a research assistent in Department of Mathematics, Humboldt-Universität zu Berlin.
Please visit my ResearchGate and Google sites.
Short CV:
- 09/2007---06/2011 B.S. Statistics and Actuarial Sciences, School of Mathematics, Jilin University, P.R.C.
- 09/2011---06/2013 M.S. Probability and Statistics, School of Mathematical Sciences, Beijing Normal University, P.R.C.
- 08/2014---09/2015 Exchange graduate student, School of Operation Research and Information Engineering, Cornell University, U.S.A.
- 09/2013---06/2016 Ph.D. Probability and Statistics, School of Mathematical Sciences, Beijing Normal University, P.R.C.
Academic Appointments
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09/2011 - 06/2014 Teaching Assistant Beijing Normal University, China
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07/2013 - 08/2013 Visiting Student Bielefeld University, Germany
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08/2014 - 09/2015 Exchange Student Cornell University, U.S.A.
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07/2016 - 12/2016 Research Assistant Beijing Normal University, China
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01/2017 - 03/2017 Visiting Scholar Concordia University, Canada
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04/2017 - 09/2018 Postdoc Humboldt-Universität zu Berlin, Germany
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10/2018 - 09/2020 Humboldt Research Fellowship Germany
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10/2020 - 06/2023 Research assistant Humboldt-Universität zu Berlin, Germany
Major Research Interests:
- Interacting particle system and Limit order book modelling
- Affine processes and Term-structure of interest rate
- (General) Continuous-state Braching processes in determinstic/random envionment and Stochastic equations
- Exponential functionals of Levy processes and their applicaitons
- Statistical inference of stochastic processes with light/heavy-tails
- Backward doubly stochastic differential equaitons with jumps and their applications
Preprints:
- Horst, U. and Xu, W. (2023). Second-order regular variation and second-order approximation of Hawkes processes. Arxiv e-print: 2311.02655
Publications:
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Xu, W. (2023). Stochastic Volterra equations for the local times of spectrally positive stable processes. To appear in Ann. Appl. Probab. Arxiv e-print: 2105.02349
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Xu, W. (2023): Diffusion Approximations for Marked Self-excited Systems with Applications to General Branching Processes. To appear in Ann. Appl. Probab. ArXiv e-print: 2101.01288
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Xu, W. (2023+). Asymptotics for Exponential Functionals of Random Walks. To appear in Stochastic Process. Appl., Arxiv e-print: 2201.02975
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Horst, U. and Xu, W. (2022): The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. Ann. Appl. Probab., 32 (6), 4568-4610. ArXiv e-print: 1911.12969
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Xu, W. (2021): Asymptotic Results for Heavy-tailed Lévy Processes and their Exponential Functionals.Bernoulli 27(4), 2766–2803, ArXiv e-print: 1912.04795
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Horst, U. and Xu, W. (2019): Functional Limit Theorems for Marked Hawkes Point Measures. Stochastic Process. Appl. 134, 94-131. ArXiv e-print: 1908.06703
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Horst, U. and Xu, W. (2019): A Scaling Limit for Limit Order Books Driven by Hawkes Processes. SIAM J. Finan. Math., 10(2), 350–393. ArXiv e-print: 1709.01292
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Xu, W. (2018): Crump-Mode-Jagers Processes with Immigration and Their Scaling Limits: Light-tailed Case. ArXiv e-print: 1809.05931.
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Li, Z. and Xu, W. (2018): Asymptotic Results for Exponential Functionals of Levy Processes. Stochastic Process. Appl.128, 108–131 .
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He, H., Li, Z. and Xu, W. (2017): Continuous-state Branching Processes in Levy Random Environments. Journal of Theoretical Probability, 1-23.
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Xu, W. (2016). Backward doubly stochastic equations with jumps and comparison theorems. Journal of Mathematical Analysis and Applications, 443(1), 596-624.
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Xu, W. (2014): Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration. Statististics and Probability Letters, 91, 124-134.
Preprints:
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Xu, W. (2021). Asymptotic Results for Rough Continuous-state Branching Processes. (An supplement article) Arxiv e-print:2107.05888
Selected Presentations:
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11/02/2013 Parameter Estimation in Two-type CBI Processes, The Third Session of National Probability and Statistics Workshop for Young Scholars, Xuzhou China
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07/05/2014 Nonparametric Estimation in CBI Processes. Jilin University, Jilin China
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05/01/2016 Survival Probability of Continuous-state Branching Processes in Random Environment, Anhui Normal University, Anhui China
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06/23/2016 Continuous-state Branching Processes in Random Environment Stochastic Equations with Jumps, Humboldt University in Berlin, Berlin Germany
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02/02/2017 Exponential Functionals of Levy processes with Light/Heavy Tails, Concordia University, Montréal Canada
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04/20/2017 Limit Order Books Driven by infinite-dimensional Hawkes Processes, 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance, Berlin Germany
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07/05/2017 A Scaling Limit for LOBs Driven by infinite-dimensional Hawkes Processes. Workshop on BSDEs and SPDEs, Edingburg UK.
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15/03/2018 Limit Order Books, Hawkes Processes and Particle Systems. Concordia University, Montréal Canada
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18/07/2018 A Scaling Limit for Limit Order Books Driven by Hawkes Processes. 10th World Congress of the Bachelier Finance Society , Dublin Ireland
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08/07/2019 Diffusion Approximation for CMJ-Processes. International Mathematical Statistics China, Dalian China
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23/09/2019 Functional Limit Theorems for Marked Hawkes Point Measures, 2019 Branching in Innsbruck, Innsbruck Austria
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09/01/2020 The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. Vienna University of Technology, Vienna Austria
School of Mathematics and Statistics
Probability and Financial Mathematics
Wencui E413, Liangxiang, Fangshan, 102401 Beijing China
email address:
xuwei.math@gmail.com