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 (paywalled).

PhD Projects

I apologise but I currently cannot offer any PhD positions in my research group. 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 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

  • 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. He is currently a Postdoc at the School of Mathematics working on Multi-agent RL in DeFi together with Simtopia.ai.
  • 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.

New / submitted / under review

Journal Publications

Talk Slides

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

Lecture Notes



Past Teaching