Wei Xu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Diffusion approximations for self-excited systems with applications to general branching processes The Annals of Applied Probability	2024-08-22	Paper
Stochastic Volterra equations for the local times of spectrally positive stable processes The Annals of Applied Probability	2024-08-22	Paper
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility	2023-12-14	Paper
Second-Order Regular Variation and Second-Order Approximation of Hawkes Processes	2023-11-05	Paper
The microstructure of stochastic volatility models with self-exciting jump dynamics The Annals of Applied Probability	2022-12-20	Paper
Joint angle and frequency estimation in linear arrays based on covariance reconstruction and ESPRIT Mathematical Problems in Engineering	2022-01-25	Paper
Asymptotic results for heavy-tailed Lévy processes and their exponential functionals Bernoulli	2021-09-10	Paper
Functional limit theorems for marked Hawkes point measures Stochastic Processes and their Applications	2021-04-27	Paper
A scaling limit for limit order books driven by Hawkes processes SIAM Journal on Financial Mathematics	2019-07-26	Paper
Continuous-state branching processes in Lévy random environments Journal of Theoretical Probability	2018-10-24	Paper
Asymptotic results for exponential functionals of Lévy processes Stochastic Processes and their Applications	2017-12-01	Paper
Backward doubly stochastic equations with jumps and comparison theorems Journal of Mathematical Analysis and Applications	2016-06-20	Paper
Parameter estimation in two-type continuous-state branching processes with immigration Statistics & Probability Letters	2014-06-12	Paper
Functional Limit Theorems for Hawkes Processes (available as arXiv preprint)	N/A	Paper

Research outcomes over time

This page was built for person: Wei Xu