User profiles for J. A. Primbs
James PrimbsProfessor of Finance, California State University Fullerton Verified email at fullerton.edu Cited by 2852 |
Nonlinear optimal control: A control Lyapunov function and receding horizon perspective
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…
(CLFs) and receding horizon control (RHC), also known as model predictive control (MPC…
Optimal pairs trading: A stochastic control approach
S Mudchanatongsuk, JA Primbs… - 2008 American control …, 2008 - ieeexplore.ieee.org
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 …
model the log-relationship between a pair of stock prices as an Ornstein-Uhlenbeck process …
On a new paradigm for stock trading via a model-free feedback controller
BR Barmish, JA Primbs - IEEE Transactions on Automatic …, 2015 - ieeexplore.ieee.org
… 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. …
transaction costs: A generalized utility maximization approach,” J. Quantitative Finance, vol. 8, pp. …
Stochastic receding horizon control of constrained linear systems with state and control multiplicative noise
… 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 …
control,” in … Primbs (M’00) received the Ph.D. degree in control and dynamical systems from the …
Control Lyapunov functions: New ideas from an old source
RA Freeman, JA Primbs - … of 35th IEEE conference on decision …, 1996 - ieeexplore.ieee.org
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 …
inverse optimality is analyzed. This method is shown to recover the LQ optimal control when …
A receding horizon generalization of pointwise min-norm controllers
… 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…
of California, Davis, in 1994, the MS degree in electrical engineering from Stanford University…
Feasibility and stability of constrained finite receding horizon control
JA Primbs, V Nevistić - Automatica, 2000 - Elsevier
… 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 …
University of California, Davis in 1994, the MS degree in electrical engineering at Stanford …
[PDF][PDF] Constrained nonlinear optimal control: a converse HJB approach
V Nevistic, JA Primbs - California Institute of Technology …, 1996 - authors.library.caltech.edu
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 …
backwards [2], the so called converse constrained optimal control problem is introduced, and …
On feedforward stock trading control using a new transaction level price trend model
BR Barmish, JA Primbs… - IEEE Transactions on …, 2021 - ieeexplore.ieee.org
… [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 …
of … [27] JA Primbs and Y. Yamada, “Pairs trading under transactions costs using model …
On arbitrage possibilities via linear feedback in an idealized brownian motion stock market
BR Barmish, JA Primbs - … 50th IEEE conference on decision and …, 2011 - ieeexplore.ieee.org
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 …
analysis given in [2]. Whereas the previous work addresses a class of idealized markets …