Professor of Mathematics
Chair in Probability and Stochastic Analysis
Department of Mathematics Imperial College London
London SW7 2AZ
I am a Professor of Mathematics at the Imperial College London. Besides teaching classes at the University,
being a member of the management committee of the Centre for Doctoral Training on Mathematics of Random Systems,
I also take care of the CDT.
I work and research in Probability and Stochastic Analysis.
Most of the time my research work involves stochastic differential equations.
I am fascinated with the ergodicity, the geometry, and the large time asymptotics of stochastic processes.
One of my recent interests is two scale stochastic systems of equations with fractional noise.
My Arxiv page can be found at
Xue-Mei Li at arXiv.
For my Public personal web page at Imperial college, click
here, Xue-Mei Li at
Imperial college .
In addition, I also organise seminars, workshops and conferences, and also make editorial work
( I am currently an associate Editor of the Electr. J. Probab. and ELectr. C. Probab.).
Diffusive and rough homogenisation in fractional noise field
Johann Gehringer, Xue-Mei Li. Article (2000)
Functional limit theorems for the fractional Ornstein-Uhlenbeck process, Johann Gehringer, Xue-Mei Li. (2000)
Homogenization with fractional random fields,
Johann Gehringer and Xue-Mei Li. (2019)
Averaging dynamics driven by fractional Brownian motion.
Martin Hairer and Xue-Mei Li. To appear Ann. Probab. Article
Functional limit theorems for the fractional Ornstein-Uhlenbeck process
Log-Hessian formula and the Talagrand conjecture
N Gozlan, Xue-Mei Li, M Madiman, C. Roberto, P.-M Samson
Perturbation of Conservation Laws and Averaging on Manifolds, Xue-Mei Li,
In The Abelsymposium: Computation and Combinatorics in Dynamics, Stochastics and Control. (2018)
Homogenisation on Homogeneous Spaces (with an appendix by D. Rumynin)
Article arXiv:1505.06772. J. Math. Soc. Japan Volume 70, Number 2 (2018), 519-572.
(2018). Xue-Mei Li
Generalised Brownian bridges: examples. Markov Processes and Related Fields, 2018, v.24, Issue 1, 151-163.
Doubly Damped Parallel translations and Hessian formulas, In
'`Stochastic Partial Differential Equations and Related Fields'',
`in Honor of Michael Roeckner, SPDERF, Bielefeld, Germany, October 10-14, 2016'. In Springer Proceedings in Mathematics & Statistics, (2018)
Xue-Mei Li. Article"
First order Feynman-Kac Formula. Xue-Mei Li and James Thompson, Stochastic Processes and their applications, doi.org/10.1016/j.spa.2017.10.010.
Volume 128, Issue 9, September 2018, Pages 3006-3029.
Article in journal,
Article in arxiv
Reflected Brownian Motion: selection, approximation, and Linearization. M. Arnaudon and Xue-Mei Li. arxiv:1602.00897 ArticleElectronic Journal of Probability 2017, Vol. 22, paper no. 31, 1-55
On the Semi-Classical Brownian Bridge Measure' arxiv:1607.06498 ArticleElectronic Communications in Probability 2017, Vol. 22, paper no. 38, 1-15