Status:
Personal website:
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
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:
https://www.chebfun.org/examples/stats/RandomPolynomials.html
(courtesy of Prof. Nick Trefethen)
Teaching:
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.
arXiv:1904.06998
Neural controlled differential equations for irregular time series
Patrick Kidger, James Morrill, James Foster and Terry Lyons, 2020.
arXiv:2005.08926
An asymptotic radius of convergence for the
Loewner equation and simulation of SLE traces
via splitting
James Foster, Terry Lyons and Vlad Margarint, 2019.
arXiv:1912.06424