Multistep schemes for solving backward stochastic differential equations on GPU

Journal of Mathematics in Industry

Table 9 The results for Example 4

K	N	M	\(\|y_{0,0}-y_{0}^{0}\|\)	\(\|z_{0,0}-z_{0}^{0}\|\)	\(t_{CPU}\)	\(t_{GPU}\)	speedup	Memory
1	8	46	1.32E−02	1.95E−03	0.14	0.01	18.60	0.30
1	16	64	6.46E−03	4.64E−03	0.53	0.01	45.96	0.30
1	32	92	3.18E−03	3.24E−03	2.12	0.04	47.55	0.30
1	64	128	1.57E−03	1.85E−03	8.73	0.17	50.33	0.30
2	8	78	5.90E−04	8.49E−03	0.62	0.01	44.08	0.30
2	16	128	8.31E−04	3.46E−03	3.56	0.07	49.93	0.31
2	32	216	5.84E−04	1.44E−03	21.96	0.42	51.75	0.34
2	64	364	3.39E−04	6.39E−04	131.09	2.57	50.95	0.42
3	8	128	3.94E−04	1.43E−03	2.12	0.04	49.40	0.32
3	16	256	6.75E−05	2.08E−04	21.05	0.41	51.83	0.38
3	32	512	9.72E−06	2.79E−05	187.79	3.61	52.04	0.65
3	64	1024	1.30E−06	3.60E−06	1719.55	30.54	56.30	1.66
4	8	128	1.90E−04	8.09E−04	2.41	0.05	45.19	0.33
4	16	256	3.78E−05	1.24E−04	25.99	0.51	51.18	0.40
4	32	512	5.69E−06	1.67E−05	239.73	4.63	51.80	0.75
4	64	1024	7.76E−07	2.17E−06	2279.06	40.10	56.83	2.09
5	8	128	1.39E−04	7.49E−04	2.39	0.05	45.06	0.35
5	16	256	3.65E−05	1.30E−04	30.16	0.59	51.27	0.43
5	32	512	6.00E−06	1.83E−05	292.10	5.67	51.54	0.86
5	64	1024	8.48E−07	2.42E−06	3049.33	48.75	62.55	2.52
6	8	128	8.13E−05	5.97E−04	2.21	0.04	50.61	0.34
6	16	256	3.07E−05	1.18E−04	32.93	0.64	51.76	0.46
6	32	512	5.49E−06	1.73E−05	341.15	6.46	52.81	0.97
6	64	1024	8.00E−07	2.32E−06	3394.13	57.56	58.96	2.94