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Dr. Wei Xu

If you can jump out from the time-dimension then randomness will not exist and the whole world is determinstic. 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!

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.
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

Selected Presentations: 
  •  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 in finite-dimensional Hawkes Processes, 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance 
 
Humboldt-Universität zu Berlin
 
Department of Mathematics
 
Applied Financial Mathematics
 
Rudower Chaussee 25, Haus 1, Raum 234
 
12489 Berlin
 
Germany
 
 
Phone: 
+49 30 2093 1714
e-Mail Adress: 
xuwei@math.hu-berlin.de

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