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. Personal Webpage
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
07/23 - Associate Professor Beijing Institute if Technology
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:
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 Applications, 443(1), 596-624.
Xu, W. (2014): Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration. Statististics and Probability Letters, 91, 124-134.
Preprints:
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
China
email address:
xuwei.math@gmail.com