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

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 for available funding (we normally fully fund all students we accept) and for details regarding the formal application process. 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.

Submitted / under review

Journal Publications

Conference Papers (peer reviewed)

Talk Slides

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

Lecture Notes

Other

Teaching

  • In 2023/24 I will be teaching Stochastic Control and Dynamic Asset Allocation.

Past Teaching