If you can jump out from the timedimension then randomness will not exist and the whole world is deterministic. All substances are crystal and light is the critical state, the main challenge for us comes from dimension restrictions. Thank GOD! We are not omnipotent and future is mysterious, relative randomness exists actually! Probability is meaningful! If tomorrow's stock prices can be known, I would lose my job! Time is unbelievable!
Now I am working with Prof. Horst to study Limit Order Books and other related problems (Supported by Alexander von Humboldt Foundation).
Short CV:
 09/200706/2011 B.S. Statistics and Actuarial Sciences, School of Mathematics, Jilin University, P.R.C.
 09/201106/2013 M.S. Probability and Statistics, School of Mathematical Sciences, Beijing Normal University, P.R.C.
 08/201409/2015 Exchange graduate student, School of Operation Research and Information Engineering, Cornell University, U.S.A.
 09/201306/2016 Ph.D. Probability and Statistics, School of Mathematical Sciences, Beijing Normal University, P.R.C.
Major Research Interests:
 Interacting particle system and Limit order book modelling
 Affine processes and Termstructure of interest rate
 (General) Continuousstate Braching processes in determinstic/random envionment and Stochastic equations
 Exponential functionals of Levy processes and their applicaitons
 Statistical inference of stochastic processes with light/heavytails
 Backward doubly stochastic differential equaitons with jumps and their applications
Publications:

Xu, W. (2021). Asymptotic Results for Rough Continuousstate Branching Processes. Arxiv eprint:2107.05888

Xu, W. (2021). A RayKnight Theorem for Spectrally Positive Stable Processes. Arxiv eprint: 2105.02349

Xu, W. (2021): Diffusion Approximations for Marked Selfexciting Systems with Applications to General Branching Processes. ArXiv eprint: 2101.01288

Xu, W. (2021): Asymptotic Results for Heavytailed Lévy Processes and their Exponential Functionals. To appear in Bernoulli, ArXiv eprint: 1912.04795

Horst, U. and Xu, W. (2019): The Microstructure of Stochastic Volatility Models with SelfExciting Jump Dynamics. Submitted to Ann. Appl. Probab. (Under Revision). ArXiv eprint: 1911.12969

Horst, U. and Xu, W. (2019): Functional Limit Theorems for Marked Hawkes Point Measures. Stochastic Process. Appl. 134, 94131. ArXiv eprint: 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 eprint: 1709.01292

Xu, W. (2018): CrumpModeJagers Processes with Immigration and Their Scaling Limits: Lighttailed Case. ArXiv eprint: 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): Continuousstate Branching Processes in Levy Random Environments. Journal of Theoretical Probability, 123.

Xu, W. (2016). Backward doubly stochastic equations with jumps and comparison theorems. Journal of Mathematical Analysis and Applications, 443(1), 596624.

Xu, W. (2014): Parameter Estimation in Twotype Continuousstate Branching Processes with Immigration. Statististics and Probability Letters, 91, 124134.
Selected Presentations:

11/02/2013 Parameter Estimation in Twotype 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 Continuousstate Branching Processes in Random Environment, Anhui Normal University, Anhui China

06/23/2016 Continuousstate 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 infinitedimensional Hawkes Processes, 3rd BerlinPrincetonSingapore Workshop on Quantitative Finance, Berlin Germany

07/05/2017 A Scaling Limit for LOBs Driven by infinitedimensional 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 CMJProcesses. 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 SelfExciting Jump Dynamics. Vienna University of Technology, Vienna Austria
Department of Mathematics
Applied Financial Mathematics
Rudower Chaussee 25, Haus 1, Raum 234
12489 Berlin
Germany
Phone:
+49 30 2093 1714
email address:
xuwei@math.huberlin.de