eth sam

Prof. Dr. Wesley P. Petersen

Seminar for Applied Mathematics
ETH Zurich
CH-8092 Zurich

Contact Information

Seminar for Applied Mathematics
ETH Zentrum, HG G-52.1
Zurich, CH-8092
Tel: +41 (44) 632 5575 (direct)
Fax: +41 (44) 632 1104

Recent projects

Book: Introduction to parallel computing

by W. Petersen and P. Arbenz, published by Oxford University Press, January, 2004, and a second printing in April, 2006.

Related information: OUP link, with software examples and exercises: software

Dirichlet problems in high dimensions

PhD. thesis by Fabian M. Buchmann: completed April 2004.

Stochastic Differential Equations with discontinuous drift coefficients

PhD. thesis by Sibylle Arnold: completed December, 2006. Ms Arnold has submitted a paper to ETNA, the electronic numerical analysis journal.

Current projects

Pro-Seminar with Christoph Schwab: data compression, in Herbstsemeser 2007.

Simulation of complex stochastic differential equations with applications in quantum statistical mechanics. This is joint work with Christian Perret (SAM), Matthias Troyer, and Philippe Corboz (Inst. für Theor.  Physik). An error analysis for such SDE simulations is necessary and will be the principle focus.

An RW project which tests the suitability of IBM/Sony CELL processors for scientific work was begun in late 2006. It is in collaboration with R. Jeltsch, G. Lake (Univ. of Zürich), M. Troyer (ITP, Physik), and collaborators from Berkeley Laboratory (NERSC). Mauro Calderara, François Gaignat, and Jonathan Coles from Uni Zürich have completed an initial project of high-precision arithmetic on SPUs. A paper on HFN (high. prec. floating point numbers) is in preparation for "Scientific Programming." The multiple levels of parallelism available on CELL (CBEs), including OpenMPI inter-PS3 communication, will be studied in a parallel computing course. This course is given in alternate years by P. Arbenz and myself. See:

The first phase of a numerical simulation of asset Pricing in Inhomogeneous Economies project with Y. Lengwiler (Uni. Basel, Dept. of Economics), and S. Malamud and E. Trubowitz (D-MATH) is complete. S. Malamud's thesis was finished and his PhD granted in 2006. The Monte-Carlo code for this project is working reliably. Dr. Malamud is now Asst. Professor of Financial Mathematics at ETH. There were talks on this project at London School of Economics (31/1/2007 by Prof. Malamud); by W. Petersen (ICIAM 2007, 17/07/2007), and by now several others. A paper on our simulation was submitted to the "Journal of Political Economy."


Wesley P. Petersen -- ( -- Last Revision 23 Jan. 2008.