Wei Xu, Prof. Dr.

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

  • 09/2011 - 06/2014       Teaching Assistant                            Beijing Normal University, China

  • 07/2013 - 08/2013       Visiting Student                                 Bielefeld University, Germany

  • 08/2014 - 09/2015       Exchange Student                            Cornell University, U.S.A.

  • 07/2016 - 12/2016       Research Assistant                           Beijing Normal University, China

  • 01/2017 - 03/2017       Visiting Scholar                                 Concordia University, Canada

  • 04/2017 - 09/2018       Postdoc                                             Humboldt-Universität zu Berlin, Germany

  • 10/2018 - 09/2020       Humboldt Research Fellowship        Germany

  • 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



  • Horst, U. and Xu, W. (2023). Second-order regular variation and second-order approximation of Hawkes processes. Arxiv e-print: 2311.02655




  • 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

  • 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

  • Xu, W. (2023+). Asymptotics for Exponential Functionals of Random Walks. To appear in Stochastic Process. Appl., Arxiv e-print: 2201.02975

  • 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

  • Xu, W. (2021): Asymptotic Results for Heavy-tailed Lévy Processes and their Exponential Functionals.Bernoulli 27(4), 2766–2803, ArXiv e-print: 1912.04795

  • 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

  • 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   

  • Xu, W. (2018): Crump-Mode-Jagers Processes with Immigration and Their Scaling Limits: Light-tailed Case. ArXiv e-print: 1809.05931.

  • Li, Z. and Xu, W. (2018): Asymptotic Results for Exponential Functionals of Levy Processes. Stochastic Process. Appl.128, 108–131 .

  • He, H., Li, Z. and Xu, W. (2017): Continuous-state Branching Processes in Levy Random Environments. Journal of Theoretical Probability, 1-23.

  • Xu, W. (2016). Backward doubly stochastic equations with jumps and comparison theorems. Journal of Mathematical Analysis and Applications443(1), 596-624.

  • Xu, W. (2014): Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration. Statististics and Probability Letters, 91, 124-134.



  • Xu, W. (2021). Asymptotic Results for Rough Continuous-state Branching Processes. (An supplement article) Arxiv e-print:2107.05888


Selected Presentations:

  • 11/02/2013 Parameter Estimation in Two-type CBI Processes, The Third Session of National Probability and Statistics Workshop for Young Scholars, Xuzhou China

  • 07/05/2014 Nonparametric Estimation in CBI Processes. Jilin University, Jilin China

  • 05/01/2016 Survival Probability of Continuous-state Branching Processes in Random Environment, Anhui Normal University, Anhui China

  • 06/23/2016 Continuous-state Branching Processes in Random Environment Stochastic Equations with Jumps, Humboldt University in Berlin, Berlin Germany

  • 02/02/2017 Exponential Functionals of Levy processes with Light/Heavy Tails, Concordia University, Montréal Canada

  • 04/20/2017 Limit Order Books Driven by infinite-dimensional Hawkes Processes, 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance, Berlin Germany

  • 07/05/2017 A Scaling Limit for LOBs Driven by infinite-dimensional Hawkes Processes. Workshop on BSDEs and SPDEs, Edingburg UK.

  • 15/03/2018 Limit Order Books, Hawkes Processes and Particle Systems. Concordia University, Montréal Canada

  • 18/07/2018 A Scaling Limit for Limit Order Books Driven by Hawkes Processes. 10th World Congress of the Bachelier Finance Society , Dublin Ireland

  • 08/07/2019 Diffusion Approximation for CMJ-Processes. International Mathematical Statistics China, Dalian China

  • 23/09/2019 Functional Limit Theorems for Marked Hawkes Point Measures, 2019 Branching in Innsbruck, Innsbruck Austria

  • 09/01/2020 The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. Vienna University of Technology, Vienna Austria

Beijing Institute of Technology
School of Mathematics and Statistics
Probability and Financial Mathematics
Wencui E413, Liangxiang, Fangshan,
102401 Beijing

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