University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am interested in stochastic analysis and rough path theory - particularly numerical approximations for SDEs (and more generally RDEs).
A Matlab demo of some recent work can be found at:
(courtesy of Prof. Nick Trefethen)
Graduate lecturer at Worcester College, tutoring Linear Algebra and Analysis (2017-2018)
TT 2019: Tutor (Consultation Sessions) - B8.4 Information Theory
MT 2018: Tutor - B8.4 Information Theory
TT 2017, 2018: Tutor (Consultation Sessions) - B8.4 Communication Theory
MT 2016, 2017: Teaching Assistant - B8.4 Communication Theory
HT 2017: Teaching Assistant - B8.3 Mathematical Models of Financial Derivatives
Prizes, awards, and scholarships:
G-Research PhD Prize (2020, first place)
Major / recent publications:
An optimal polynomial approximation of Brownian motion
James Foster, Terry Lyons and Harald Oberhauser, SIAM Journal on Numerical Analysis, 2020.
Neural controlled differential equations for irregular time series
Patrick Kidger, James Morrill, James Foster and Terry Lyons, 2020.
An asymptotic radius of convergence for the
Loewner equation and simulation of SLE traces
James Foster, Terry Lyons and Vlad Margarint, 2019.