Wu attended Fudan University, receiving his bachelor's degree in 1997.

[citation needed] He went on to the University of Michigan for graduate studies, receiving his PhD in 2001 under the supervision of Michael Woodroofe and Sándor Csörgő.

[1] He was hired at the University of Chicago shortly after completing his PhD, and has remained there since.

Wu is best-known for his work on dependence, in which the main new idea is to interpret random processes as physical systems, and to examine coefficients that would have physical meaning.

[5][6] Wu has more than 20 students and their descendants working in academia.