Multistep schemes for solving backward stochastic differential equations on GPU

Journal of Mathematics in Industry

Table 5 The results for Example 2

K	N	M	\(\|y_{0,0}-y_{0}^{0}\|\)	\(\|z_{0,0}-z_{0}^{0}\|\)	\(t_{CPU}\)	\(t_{GPU}\)	speedup
1	128	364	7.85E−04	3.52E−03	0.32	1.17	0.27
1	256	512	3.77E−04	1.76E−03	0.88	2.13	0.41
1	512	726	1.85E−04	8.78E−04	2.52	4.04	0.62
1	1024	1024	9.15E−05	4.39E−04	6.98	7.80	0.89
2	128	1218	1.85E−04	8.37E−04	1.52	1.24	1.23
2	256	2048	9.13E−05	4.29E−04	5.13	2.51	2.04
2	512	3446	4.54E−05	2.17E−04	17.47	5.11	3.42
2	1024	5794	2.26E−05	1.09E−04	58.93	10.65	5.53
3	128	4096	1.92E−07	8.34E−07	6.61	1.53	4.31
3	256	8192	2.41E−08	1.06E−07	26.81	2.97	9.03
3	512	16,384	3.02E−09	1.33E−08	108.92	6.62	16.46
3	1024	32,768	3.77E−10	1.67E−09	435.23	18.35	23.71
4	128	4096	1.10E−07	4.86E−07	8.06	1.53	5.28
4	256	8192	1.42E−08	6.28E−08	32.82	3.02	10.87
4	512	16,384	1.80E−09	7.99E−09	133.26	6.47	20.61
4	1024	32,768	2.27E−10	1.01E−09	538.13	19.33	27.84
5	128	4096	1.20E−07	5.40E−07	9.48	1.54	6.14
5	256	8192	1.58E−08	7.04E−08	38.68	2.97	13.05
5	512	16,384	2.02E−09	8.99E−09	156.63	6.67	23.48
5	1024	32,768	2.55E−10	1.14E−09	635.01	19.55	32.48
6	128	4096	1.11E−07	5.08E−07	10.91	1.54	7.07
6	256	8192	1.49E−08	6.71E−08	44.77	3.09	14.48
6	512	16,384	1.93E−09	8.63E−09	182.74	7.15	25.57
6	1024	32,768	2.45E−10	1.09E−09	735.15	20.97	35.05