Szymanski, G. and Xu, W. (2025). Mean-field limits for nearly unstable Hawkes processes. [Arxiv]
Horst, U., Xu, W. and Zhang, R. (2024). Path-dependent fractional Volterra equations and the microstructure of rough volatility models driven by Poisson random measures. [Arxiv]
Xu, W. (2024). Scaling limit theorems for multivariate Hawkes processes and stochastic Volterra equations with measure kernel. [Arxiv]
Xu, W. (2024). Stochastic Volterra equations for local times of spectrally positive Lévy processes with Gaussian components. [Arxiv]
Horst, U., Xu, W. and Zhang, R. (2023). Convergence of heavy-tailed Hawkes processes and the microstructure of rough volatility. [Arxiv] Submitted to Ann. Appl. Probab. (reversion submitted)
Horst, U. and Xu, W. (2025). Second-order regular variation and second-order approximation of Hawkes processes. To appear in J. Math. Anal. Appl. [Journal] [Arxiv] (It contains some auxilliary results that are used in Horst and Xu (2025, PTRF))
Horst, U. and Xu, W. (2025). Functional limit theorems for Hawkes processes. To appear in Probab. Theory Relat. Fields. [Journal] [Arxiv]
Xu, W. (2024). Stochastic Volterra equations for the local times of spectrally positive stable processes. Ann. Appl. Probab., 34 (3), 2733-2798. [Journal] [arXiv]
Xu, W. (2024). Diffusion approximations for marked self-excited systems with applications to general branching processes. Ann. Appl. Probab., 34 (3), 2650-2713. [Journal] [arXiv]
Xu, W. (2023). Asymptotics for exponential functionals of random walks. Stochastic Process. Appl., 165, 1-42. [Journal] [arXiv]
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]
Xu, W. (2021). Asymptotic results for heavy-tailed Lévy processes and their exponential functionals. Bernoulli, 27(4), 2766–2803. [Journal] [arXiv]
Horst, U. and Xu, W. (2021). Functional limit theorems for marked Hawkes point measures. Stochastic Process. Appl., 134, 94-131. [Journal] [arXiv]
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]
Li, Z. and Xu, W. (2018). Asymptotic results for exponential functionals of Lévy processes. Stochastic Process. Appl., 128, 108–131. [Journal] [arXiv]
He, H., Li, Z. and Xu, W. (2018). Continuous-state Branching Processes in Lévy Random Environments. J. Theoret. Probab., 31, 1-23. [Journal] [arXiv]
Xu, W. (2016). Backward doubly stochastic equations with jumps and comparison theorems. J. Math. Anal. Appl., 443(1), 596-624. [Journal] [arXiv]
Xu, W. (2014). Parameter estimation in two-type continuous-state branching processes with immigration. Stat. Probab. Lett., 91, 124-134. [Journal] [arXiv]