Two well known approaches to nonlinear control involve the use of control Lyapunov functions
(CLFs) and receding horizon control (RHC), also known as model predictive control (MPC…

In this paper, we propose a stochastic control approach to the problem of pairs trading. We
model the log-relationship between a pair of stock prices as an Ornstein-Uhlenbeck process …

… Meindl and JA Primbs, “Dynamic hedging of single and multidimensional options with
transaction costs: A generalized utility maximization approach,” J. Quantitative Finance, vol. 8, pp. …

… Meindl and JA Primbs, “Dynamic hedging with stochastic volatility using receding horizon
control,” in … Primbs (M’00) received the Ph.D. degree in control and dynamical systems from the …

A control design method for nonlinear systems based on control Lyapunov functions and
inverse optimality is analyzed. This method is shown to recover the LQ optimal control when …

… Primbs received BS degrees in electrical engineering and mathematics from the University
of California, Davis, in 1994, the MS degree in electrical engineering from Stanford University…

… James Primbs received BS degrees in electrical engineering and mathematics at the
University of California, Davis in 1994, the MS degree in electrical engineering at Stanford …

Extending the concept of solving the Hamilton-Jacobi-Bellman (HJB) optimization equation
backwards [2], the so called converse constrained optimal control problem is introduced, and …

… [21] BR Barmish and JA Primbs, “Stock trading via feedback control methods” in Encyclopedia
of … [27] JA Primbs and Y. Yamada, “Pairs trading under transactions costs using model …

This paper extends the so-called Simultaneous Long-Short (SLS) linear feedback stock trading
analysis given in [2]. Whereas the previous work addresses a class of idealized markets …