Multistep schemes for solving backward stochastic differential equations on GPU

Journal of Mathematics in Industry

Table 8 The results for Example 3

K	N	M	\(\|y_{0,0}-y_{0}^{0}\|\)	\(\|z_{0,0}-z_{0}^{0}\|\)	\(t_{CPU}\)	\(t_{GPU}\)	speedup
1	32	316	2.55E−04	1.11E−03	0.04	0.60	0.07
1	64	446	1.24E−04	5.70E−04	0.12	1.03	0.11
1	128	632	6.21E−05	2.89E−04	0.33	1.79	0.18
1	256	892	3.12E−05	1.45E−04	0.93	3.38	0.28
2	32	990	1.34E−05	3.12E−04	0.18	0.61	0.29
2	64	1664	6.88E−06	1.59E−04	0.64	1.04	0.61
2	128	2798	3.38E−06	8.04E−05	2.16	1.92	1.13
2	256	4704	1.69E−06	4.04E−05	7.34	3.73	1.97
3	32	3104	6.45E−09	3.98E−08	0.70	0.63	1.11
3	64	6208	6.88E−10	5.35E−09	2.93	1.14	2.58
3	128	12,414	9.72E−11	6.85E−10	11.81	2.39	4.93
3	256	24,826	1.15E−11	8.50E−11	47.54	5.79	8.21
4	32	3104	6.86E−09	2.73E−08	0.85	0.64	1.32
4	64	6208	4.78E−10	3.81E−09	3.47	1.15	3.00
4	128	12,414	7.55E−11	4.71E−10	14.26	2.45	5.82
4	256	24,826	6.36E−12	5.93E−11	57.54	6.07	9.48
5	32	3104	2.55E−09	2.85E−08	0.94	0.64	1.48
5	64	6208	4.73E−10	4.05E−09	4.04	1.14	3.56
5	128	12,414	4.40E−11	5.04E−10	16.30	2.39	6.83
5	256	24,826	6.22E−12	6.41E−11	67.33	6.22	10.83
6	32	3104	3.77E−09	2.71E−08	1.06	0.65	1.64
6	64	6208	3.56E−10	3.90E−09	4.50	1.18	3.80
6	128	12,414	3.82E−11	4.89E−10	18.69	2.54	7.35
6	256	24,826	6.16E−12	6.24E−11	77.53	6.47	11.99