Multistep schemes for solving backward stochastic differential equations on GPU

Journal of Mathematics in Industry

Table 11 The results for Example 5

K	N	M	\(\|y_{0,0}-y_{0}^{0}\|\)	\(\|z_{0,0}-z_{0}^{0}\|\)	\(t_{CPU}\)	\(t_{GPU}\)	speedup	Memory
1	8	46	2.71E−03	1.21E−02	0.15	0.00	31.96	0.33
1	16	64	1.16E−03	6.22E−03	0.61	0.01	49.03	0.34
1	32	92	5.62E−04	3.18E−03	2.49	0.04	56.82	0.35
1	64	128	2.67E−04	1.61E−03	10.29	0.17	58.93	0.34
2	8	78	9.09E−05	2.31E−03	0.65	0.01	44.33	0.35
2	16	128	5.06E−05	1.34E−03	4.08	0.07	57.72	0.35
2	32	216	1.75E−05	7.22E−04	26.64	0.42	63.82	0.38
2	64	364	8.00E−06	3.73E−04	153.21	2.51	60.96	0.46
3	8	128	6.79E−06	4.23E−06	2.19	0.04	58.92	0.36
3	16	256	3.73E−08	2.67E−07	22.90	0.38	61.02	0.42
3	32	512	7.56E−08	6.22E−08	214.17	3.41	62.74	0.69
3	64	1024	1.69E−08	9.01E−09	1911.74	29.26	65.34	1.70
4	8	128	1.07E−07	2.40E−06	2.29	0.04	57.21	0.36
4	16	256	5.16E−07	1.22E−07	28.10	0.46	61.37	0.45
4	32	512	4.19E−08	5.90E−08	275.75	4.37	63.16	0.79
4	64	1024	1.11E−08	6.46E−09	2509.67	38.55	65.10	2.13
5	8	128	6.50E−06	1.06E−06	2.17	0.04	57.84	0.37
5	16	256	1.53E−04	1.07E−07	32.14	0.53	60.92	0.47
5	32	512	2.84E−08	6.07E−08	333.62	5.31	62.78	0.90
5	64	1024	1.04E−08	5.54E−09	3083.75	47.94	64.32	2.56
6	8	128	6.70E−05	9.72E−07	1.77	0.03	57.63	0.38
6	16	256	4.27E−07	7.13E−08	35.05	0.58	60.59	0.50
6	32	512	7.56E−07	7.14E−08	387.05	6.19	62.56	1.01
6	64	1024	1.02E−08	4.73E−09	3666.74	57.06	64.26	2.99