Xu Wei Job Title: Associate Professor E-mail: xuwei@bit.edu.cn
He mainly studies the intersection of probability theory and financial mathematics, including stochastic volatility model, Levy process and particle system. The research results were published in Ann.Appl. Probab., SIAM J. Finan. Math., Bernoulli, Stoch.Process.Appl. Journal of probability theory and financial mathematics.
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Financial mathematical model; Stochastic Volterra equation and its application; Levy process and its local time and exponential functional; Branching processes and interacting particle systems

2007.09-2011.06 Undergraduate Mathematics Department Jilin University
2011.09-2016.06 PhD School of Mathematical Sciences Beijing Normal University
2014.08-2015.09 Exchange Student School of Operations Research and Information Engineering Cornell University

2016.07-2016.12 Research Assistant Beijing Normal University, China
2017.01-2017.03 Visiting Scholar Concordia University Canada
2017.04-2020.09 Humboldt Scholar Postdoctoral Fellow, Humboldt University Berlin, Germany
2020.10-2023.07 Research Assistant Humboldt University Berlin Germany

1. Xu, W. (2023+). Stochastic Volterra equations for the local times of spectrally positive stable processes. To appear in Ann. Appl. Probab. [arXiv]
2. Xu, W. (2023+). Diffusion approximations for marked self-excited systems with applications to general branching processes. To appear in Ann. Appl. Probab. [arXiv]
3. Xu, W. (2023). Asymptotics for exponential functionals of random walks. Stochastic Process. Appl., 165, 1-42. [Journal] [arXiv]
4. Horst, U. and Xu, W. (2022). The microstructure of stochastic volatility models with self-exciting jump dynamics. Ann. Appl. Probab., 32(6), 4568-4610. [Journal] [arXiv]
5. Xu, W. (2021). Asymptotic results for heavy-tailed Lévy processes and their exponential functionals. Bernoulli, 27(4), 2766–2803. [Journal] [arXiv]
6. Horst, U. and Xu, W. (2021). Functional limit theorems for marked Hawkes point measures. Stochastic Process. Appl., 134, 94-131. [Journal] [arXiv]
7. 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. [Journal] [arXiv]
8. Li, Z. and Xu, W. (2018). Asymptotic results for exponential functionals of Lévy processes. Stochastic Process. Appl., 128, 108–131. [Journal] [arXiv]