Optimal Hankel Norm Model Reduction by Truncation of Trajectories

We show how optimal Hankel-norm approximations of dynamical systems allow for a straightforward interpretation in terms of system trajectories. It is shown that for discrete time single-input systems optimal reductions are obtained by cutting 'balanced trajectories', i.e., by disconnecting the past and future in the input-output pairs relating to left- and right singular vectors of the system. A self-contained proof of optimality is given, and formulas are derived in terms of Faddeev sequences. Some parallels with the literature are briefly indicated.Optimal Hankel norm approximation;Balancing;Linear systems;l2-systems;Faddeev sequences

Performance of Delta-hedging strategies in interval models - A robustness study

hedging;volatility;option pricing

The strictest common relaxation of a family of risk measures

Operations which form new risk measures from a collection of given (often simpler) risk measures have been used extensively in the literature. Examples include convex combination, convolution, and the worst-case operator. Here we study the risk measure that is constructed from a family of given risk measures by the best-case operator; that is, the newly constructed risk measure is defined as the one that is as restrictive as possible under the condition that it accepts all positions that are accepted under any of the risk measures from the family. In fact we define this operation for conditional risk measures, to allow a multiperiod setting. We show that the well-known VaR risk measure can be constructed from a family of conditional expectations by a combination that involves both worst-case and best-case operations. We provide an explicit description of the acceptance set of the conditional risk measure that is obtained as the strictest common relaxation of two given conditional risk measures

Bevoegdheid minister om OMG te verbieden

On Tuesday the 6th of March 2018, a legislative proposal has been submitted for public consultation. The drafters propose to give the Minister for Legal Protection the power to order the ban and dissolution of legal persons that pose a threat to the public order. Drafters believe that the current legal framework on the court ordered ban and dissolution of legal persons with activities that are a jeopardy to the public order are inadequate and ineffective. Authors elaborate on some aspects of the draft proposal