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]
