I haven't seen any, but are there any JVM that is build for CUDA or DirectCompute?
I've seen the advantage of having an application run in the CPU as well as offload process to the available GPU.
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No, there is no complete implementation of the JVM that runs on the GPU (at least I've never heard of one).
This would not make a lot of sense: Usually only certain tasks that are suitable for the GPU are moved there, while the CPU does the rest of the work, so it does not make sense to have the whole JVM running on the GPU.
That said, there are multiple solutions to use the GPU from Java or from a JVM, such as: