David Siska

David Siska

I am a lecturer 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

PhD Projects

Students interested in working on a PhD project (to start in September 2020) in one of my areas of interest should contact me with informal enquires: d.siska@ed.ac.uk. 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 (feel free to contact me to discuss research plan before submitting the application).

Current PhD Students

  • Neelima, 2015 - present, she is working on nonlinear SPDEs with non-standart growth and their regularity. She is funded by University of Edinburgh's Principal's Career Development Scholarship.
  • Bekzhan Kerimkulov, 2017 - present, he is working on PDEs on measure spaces, McKean-Vlasov SDEs and stochastic control. He is funded by MIGSAA. This is part of work I do jointly with Lukasz Szpruch.


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





Numerical Computation Output Examples

  • The solution of a stochastic Ginzburg-Landau equation in one spatial dimension using a newly developed Tamed Euler scheme (see related article)
  • The payoff of an American put option, obtained using finite difference method, with the optimal exercise boundary indicated and a sample path of the price process (see related article)

Past Teaching