David Siska

David Siska

I am a Reader in the School of Mathematics with research interests in:
  • Mean-Field / McKean Vlasov SDEs,
  • Stochastic Control, including numerical algorithms,
  • Mathematical Theory of Machine Learning in particular Reinforcement Learning,
  • Multi-agent systems, and learning and game-theoretic aspects of those,
  • Applications of the above in Financial Mathematics, DeFi, and Economics.
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 2024) 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

  • 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.
  • 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. This is joint project between Vega Protocol and MAC-MIGS doctoral training centre.

Former PhD Students

  • 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. 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.



Talk Slides

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

Lecture Notes



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


Past Teaching