๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

[IEEE 2008 American Control Conference (ACC '08) - Seattle, WA (2008.06.11-2008.06.13)] 2008 American Control Conference - The multimodel approach for a numerical second order sliding mode control of highly non stationary systems

โœ Scribed by Mihoub, Mohamed; Nouri, Ahmed Said; Abdennour, Ridha Ben


Book ID
118195417
Publisher
IEEE
Year
2008
Weight
208 KB
Volume
0
Category
Article
ISBN
1424420784

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


[IEEE 2008 American Control Conference (
โœ Mudchanatongsuk, Supakorn; Primbs, James A.; Wong, Wilfred ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› IEEE โš– 196 KB

In this paper, we propose a stochastic control approach to the problem of pairs trading. We model the logrelationship between a pair of stock prices as an Ornstein-Uhlenbeck process and use this to formulate a portfolio optimization based stochastic control problem. We are able to obtain the optimal