We compare empirical convergence of Monte Carlo and quasi Monte Carlo estimates of the H-period forecasts using the Cox-Ingersoll-Ross square root diffusion model. The behaviour of the quasi Monte Carlo estimates in high dimensions (H = 250) using both Euler scheme and the Brownian bridge discretisation is analysed. We find that quasi Monte Carlo estimator displays much higher convergence rate ...

Monte Carlo (MC) simulations are extensively used for various purposes in modern high-energy physics (HEP) experiments. Precision measurements of established Standard Model processes or searches new often require the collection vast amounts data. It is difficult to produce MC samples containing an adequate number events allow a meaningful comparison with data, as substantial computing resources...