I am a
Reader in the
School of Mathematics
with research interests
in:
- Mathematics of reinforcement learning,
- Stochastic control, especially numerical methods,
- Stochastic analysis, PDEs, McKean-Vlasov SDEs,
- Applications of the above in engineering, ecoonomics and finance / insurance.
Contact Details
School of Mathematics, University of Edinburgh
Room 4611, JCMB, King's Buildings
Tel. 0131 651 9091
Email. d.siska@ed.ac.uk
Online presence:
@dsiska.bsky.social, Google Scholar and MathSciNet Profile (paywalled).
Prospective PhD students interested in working with me should read some of my recent papers and the information provided here.
I apologise but I don't have capacity to supervise any summer projects (except for UoE students and even in that case there's no guarantee).
Current PhD Students
- Deven Sethi, 2021 - present, is working on stochastic control.
He is funded by the School of Mathematics.
- Lukasz Sliwinski, 2021 - present, is working learning algorithms for multi-agent systems and their convergence.
He is funded by the MAC-MIGS doctoral training centre.
- Galen Cao, 2022 - present, is working multi-agent modelling for limit-order-book driven derivates markets.
Funding is currently from the MAC-MIGS doctoral training centre.
Former PhD Students
- Marc Sabate Vidales, 2019 - 2023, wrote a thesis on Machine learning methods in Mathematical Finance.
He was funded by The Alan Turing Institute and The Edinburgh Futures Institute.
- Maria Lefter, 2018 - 2022, wrote a thesis on McKean-Vlasov SDEs and the long time behaviour of derivatives of associated PDE solutions and uniform-in-time particle approximations of McKean-Vlasov SDEs.
She was funded by MIGSAA.
- Bekzhan Kerimkulov, 2017 - 2021, wrote a thesis on Iterative methods for solving stochastic optimal control problems.
He was funded by MIGSAA and advised jointly also with Lukasz Szpruch.
- William Hammersley, 2016 - 2020, wrote a thesis on McKean-Vlasov SDEs with and without common noise.
This was joint effort with Lukasz Szpruch.
He was funded by MIGSAA.
- Neelima, 2015 - 2019, wrote a thesis on nonlinear SPDEs with non-standart growth and their regularity.
She was funded by University of Edinburgh's
Principal's Career Development Scholarship.
New / Under Review
- With R.-A. Lascu and L. Szpruch, PPO in the Fisher-Rao geometry, 2025.
- With D. Sethi, Mirror descent for constrained stochastic control problems, 2025.
- With J. Cao, Ergodic optimal liquidations in DeFi, 2024.
- With R.-A. Lascu and M. B. Majka and L. Szpruch, Linear convergence of proximal descent schemes on the Wasserstein space, 2024.
- With J. Cao and L. Szpruch and T. Treetanthiploet, Logarithmic regret in the ergodic Avellaneda-Stoikov market making model, 2024.
- With B. Kerimkulov and L. Szpruch and Y. Zhang, Mirror Descent for Stochastic Control Problems with Measure-valued Controls, 2024.
- With A. Cartea and F. Drissi and L. Sanchez-Betancourt and L. Szpruch, Automated Market Makers Designs Beyond Constant Functions, 2023.
Peer-Reviewed Publications (journals and conferences)
- With D. Sethi and Y. Zhang, Entropy annealing for policy mirror descent in continuous time and space, to appear in SIAM J. Control Optim., 2025, (arXiv version).
- With B. Kerimkulov and J.-M. Leahy and L. Szpruch and Y. Zhang, A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces, to appear in Found. Comput. Math., 2025, (arXiv version).
- With D. Sethi, The Modified MSA, a Gradient Flow and Convergence, Ann. Appl. Probab., 34(5), 4455-4492, 2024, (arXiv versioin).
- With L. Szpruch, Gradient Flows for Regularized Stochastic Control Problems, SIAM J. Control Optim., 62(4), 2036-2070, 2024, (arXiv versioin).
- With P. Gierjatowicz, M. Sabate-Vidales, L. Szpruch and Z. Zuric, Robust pricing and hedging via neural SDEs, Journal of Computational Finance, 26(3), 1755-2850, 2023, (arXiv version).
- With B. Kerimkulov, J.-M. Leahy and L. Szpruch, Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime, Proceedings of the 39th International Conference on Machine Learning, PMLR, 162, 12222-12252, 2022, (arXiv version).
- With C. Constantinescu, A. Dias, B. Li, and S. Wang, Effect of Stop-Loss Reinsurance on Primary Insurer Solvency, Risks, 10(10), 2022, (preprint version).
- With M. Sabate-Vidales and L. Szpruch, Unbiased deep solvers for linear parametric PDEs, Applied Mathematical Finance, 28(4), 299-329, 2021, (arXiv version).
- With L. Gonon, P. Grohs, A. Jentzen and D. Kofler, Uniform error estimates for artificial neural network approximations for heat equations, IMA Journal of Numerical Analysis, 42(3), 1991-2054, 2022, (arXiv version).
- With K. Hu, Z. Ren and L. Szpruch, Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks, Ann. Inst. H. Poincaré Probab. Statist., 57(4), 2043-2065, 2021, (arXiv version).
- With W. R. P. Hammersley and L. Szpruch, McKean-Vlasov SDEs under Measure Dependent Lyapunov Conditions, Ann. Inst. H. Poincaré Probab. Statist., 57(2), 1032-1057, 2021, (arXiv version).
- With B. Kerimkulov and L. Szpruch, A modified MSA for stochastic control problems, Appl. Math. Optim., 84(3), 3417-3436, 2021, (arXiv version).
- With W. R. P. Hammersley and L. Szpruch, Weak Existence and Uniqueness for McKean-Vlasov SDEs with Common Noise, Ann. Probab., 49(2), 527-555, 2021, (arXiv version).
- With B. Kerimkulov and L. Szpruch, Exponential Convergence and stability of Howards's Policy Improvement Algorithm for Controlled Diffusions, SIAM J. Control Optim., 58(3), 1314-1340, 2020, (arXiv version).
- With Neelima, $L^p$-estimates and regularity for SPDEs with monotone semilinearity, Stoch. PDE: Anal. Comp., 8, 422-459, 2020, (arXiv version).
- With Neelima, Coercivity condition for higher order moments of nonlinear SPDEs and existence of solution under local monotonicity, Stochastics, 2019, (arXiv version).
- With I. Gyöngy,
Itô Formula for Processes Taking Values in Intersection of Finitely Many Banach Spaces,
Stoch. PDE: Anal. Comp., 5(3), 428-455, 2017, (open access).
- With E. Emmrich,
Nonlinear stochastic evolution equations of second order with damping,
Stoch. PDE: Anal. Comp., 5(1), 81-112, 2017,
(arXiv version).
- With I. Gyöngy and S. Sabanis,
Convergence of tamed Euler schemes for a class of stochastic evolution equations,
Stoch. PDE: Anal. Comp., 4(2), 225-245, 2016, (open access).
- With E. Emmrich and A. Wroblewska-Kaminska, Equations of second order in time with quasilinear damping:
existence in Orlicz spaces via convergence of a full discretisation,
Math. Methods Appl. Sci., 39(10), 2449-2460, 2016, (preprint version)..
- With E. Emmrich and M. Thalhammer, On a full discretisation for nonlinear second-order evolution equations with monotone damping: construction, convergence, and error estimates,
Found. Comput. Math., 2015.
- With E. Emmrich, Evolution equations of second order with nonconvex potential and linear damping: existence via convergence of a full discretization, J. Diff. Eq., 255(10), 3719-3746, 2013.
- With E. Emmrich, Full discretization of the porous medium/fast diffusion equation based on its very weak formulation, Commun. Math. Sci., 10(4), 1055-1080, 2012.
- Error estimates for finite difference approximations of American put option price, CMAM, 12(1), 108-120, 2012, (arXiv version).
- With E. Emmrich, Full discretization of second-order nonlinear evolution equations: strong convergence and applications to elasticity theory, CMAM, 11(4),441-459, 2011.
- With I. Gyöngy, On Finite-Difference Approximations for Normalized Bellman Equations, Appl. Math. Optim., 60(3), 297-339, 2009, (arXiv version).
- With I. Gyöngy, On Randomized Stopping, Bernoulli, 14(2), 352–361, 2008, (arXiv version).
Talk Slides
I will try to keep slides for some recent talks here.
Lecture Notes
Other
- With M. Lefter and L. Szpruch, Decaying derivative estimates for functions of solutions to non-autonomous SDEs, 2022.
- With M. Sabate-Vidales and L. Szpruch, Solving path dependent PDEs with LSTM networks and path signatures, 2020.
- With J.-F. Jabir and L. Szpruch, Mean-Field Neural ODEs via Relaxed Optimal Control, 2019.
- D. Siska Incentives for Model Calibration on Decentralized Derivatives Exchanges: Consensus in Continuum, 2020.
- G. Danezis, D. Hrycyszyn, B. Mannerings, T. Rudolph, D. Siska Vega Protocol Whitepaper, 2018.
- S. Cohen, I. Gyöngy, G. dos Reis, D. Siska and L. Szpruch (eds.) Frontiers in Stochastic Analysis – BSDEs, SPDEs and their Applications, Springer, 2019.
- PhD. Thesis: Numerical approximations of stochastic optimal stopping and control problems
- MSc. Thesis: Stochastic Differential Equations Driven by Fractional Brownian Motion – a White Noise Distribution Theory Approach
Teaching
- In 2025/26 I will be teaching Research Skills in Financial Mathematics (RSFM) in Semester 2.
Past Teaching
