David Siska

David Siska

I am a Reader in the School of Mathematics with research interests in:
  • Mean-Field / McKean Vlasov SDEs,
  • Mathematical Theory of Machine Learning,
  • Stochastic Control,
  • SPDEs (Stochastic Partial Differential Equations),
  • Applications in Financial Mathematics, Economics, Game Theory.
I am also working with an exciting blockchain startup Vega Protocol.

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: Twitter @dsiska, Google Scholar and MathSciNet Profile.

PhD Projects

Students who studied mathematics (or applied or financial mathematics or physics or perhaps informatics with strong focus on theory) interested in working on a PhD project (to start in September 2023) in one of my areas of interest should contact me with informal enquires: d.siska@ed.ac.uk so we can discuss a research proposal. See the School PhD applications website and MAC-MIGS website for available funding (we normally fully fund all students we accept) and for details regarding the formal application process.

Current PhD Students

  • Maria Lefter, 2018 - present, is working on McKean-Vlasov SDEs, particle approximations and stochastic control. She is funded by MIGSAA. This is part of work I do jointly with Lukasz Szpruch.
  • Marc Sabate Vidales, 2019 - present, is working on machine learning algorithms for approximaiton of nonlinear and path-dependent PDEs. He is funded by The Alan Turing Institute and The Edinburgh Futures Institute. This is part of work I do jointly with Lukasz Szpruch.
  • Deven Sethi, 2021 - present, is working on stochastic control. He is funded by School of Mathematics.

Former PhD Students

  • 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. He is currently a Maxwell Institute Postoc here in Edinburgh working Theory of Reinforcement Learning.
  • 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. He is currently a Postdoc at Laboratoire J.A. Dieudonné, Université de Nice Sophia-Antipolis.
  • 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. She is currently an Assistant Professor at Ramjas College, University of Delhi.

Preprints

Publications

Talk Slides

I will try to keep slides for some recent talks here.

Lecture Notes

Other

Events

Here are some events I am (or was) helping to organize.

Teaching

Past Teaching