Hey there 👋
I'm Xiaonyu Xia
I am a Lecturer in the College of Mathematics and Physics, Wenzhou University. I got my PhD in Financial Mathematics from Humboldt-Universität zu Berlin.
Email: xiaonyu.xia@wzu.edu.cn
EDUCATION
Ph.D., Mathematics, Humboldt-Universität zu Berlin, Germany, 2020
Dissertation: Singular BSDEs and PDEs Arising in Optimal Liquidation Problems, mit Summa Cum Laude (with the highest distinction)
Dissertation Advisor: Prof. Dr. Ulrich Horst
M.A., Mathematics, Fudan University, China, 2016
Thesis: Adapted Solution of Three Types of Backward Stochastic Partial Differential Equations
Thesis Advisor: Prof. Dr. Shanjian Tang
B.A., Mathematics, Xiamen University, China, 2013
WORK EXPERIENCE
Mar 2021–present: Lecturer, College of Mathematics and Physics, Wenzhou University, Zhejiang
Feb 2020–Feb 2021: Postdoctoral Scholar, Department of Mathematics, Humboldt-Universität zu Berlin
MAJOR RESEARCH INTERESTS
- Optimal Liquidation Problem
- Stochastic Control Problem
- Mean Field Game
- Partial Differential Equation (PDE)
- Backward Stochastic Differential Equation (BSDE)
- Financial Mathematics
GRANT
- National Natural Science Foundation of China for young scholars” Robust optimal liquidation problems under uncertainty” (Jan 2022-Dec 2024)
PUBLICATIONS
- Xinman Cheng, Guanxing Fu and Xiaonyu Xia, Long Time Behavior of Optimal Liquidation Problems, arXiv:2405.14177, 2024
- Guanxing Fu, Ulrich Horst and Xiaonyu Xia, A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies, Mathematics of Operations Research, DOI:10.1287/moor.2022.0174, 2023
- Guanxing Fu, Ulrich Horst and Xiaonyu Xia, Portfolio Liquidation Games with Self-Exciting Order Flow, Mathematical Finance, 32: 1020-1065, 2022
- Ulrich Horst, Xiaonyu Xia and Chao Zhou, Portfolio liquidation under factor uncertainty, Annals of Applied Probability, 32(1): 80-123, 2022
- Ulrich Horst and Xiaonyu Xia, Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint, Applied Mathematics and Optimization, 84(1): 1159-1184, 2021
- Ulrich Horst and Xiaonyu Xia, Multi-dimensional Optimal Trade Execution under Stochastic Resilience, Finance & Stochastics, 23(4), 889-923, 2019