If you can jump out from the time-dimension 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).
- 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.
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
- Xu, W. (2014): Parameter Estimation in Two-type Continuous-state Branching Processes with Immigration. Statististics and Probability Letters, 91, 124-134.
- Xu, W. (2016). Backward doubly stochastic equations with jumps and comparison theorems. Journal of Mathematical Analysis and Applications, 443(1), 596-624.
- Li, Z. and Xu, W. (2018): Asymptotic Results for Exponential Functionals of Levy Processes. Stochastic Processes and Their Applications, 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.
- Horst, U. and Xu, W. (2017): A Scaling Limit for Limit Order Books Driven by Hawkes Processes. ArXiv e-print:1709.01292.
- Ma, C and Xu, W. (2017+): Exponential Functionals of Heavy-tailed Levy Processes. Preprint.
- Xu, W. (2018): Crump-Mode-Jagers Processes with Immigration and Their Scaling Limits: Light-tailed Case. ArXiv e-print: 1809.05931.
- 11/02/2013 Parameter Estimation in Two-type CBI Processes, The Third Session of National Probability and Statistics Workshop for Young Scholars
- 07/05/2014 Nonparametric Estimation in CBI Processes. Jilin University
- 05/01/2016 Survival Probability of Continuous-state Branching Processes in Random Environment, Anhui Normal University
- 06/23/2016 Continuous-state Branching Processes in Random Environment Stochastic Equations with Jumps, Humboldt University in Berlin
02/02/2017 Exponential Functionals of Levy processes with Light/Heavy Tails, Concordia University
04/20/2017 Limit Order Books Driven by infinite-dimensional Hawkes Processes, 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance
- 07/05/2017 A Scaling Limit for LOBs Driven by infinite-dimensional Hawkes Processes. Workshop on BSDEs and SPDEs, Edingburg
Department of Mathematics
Applied Financial Mathematics
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