We consider the instantaneous control of a diffusion process on the real line. Two types of costs are incurred: the holding and transaction costs. The holding cost is incurred at all times at the rate modeled by a convex function of the state. Transactions costs have both a fixed component and a...

Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...