2009
DOI: 10.1007/s00477-009-0359-2
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A stochastic differential equation model for assessing drought and flood risks

Abstract: Droughts and floods are two opposite but related hydrological events. They both lie at the extremes of rainfall intensity when the period of that intensity is measured over long intervals. This paper presents a new concept based on stochastic calculus to assess the risk of both droughts and floods. An extended definition of rainfall intensity is applied to point rainfall to simultaneously deal with high intensity storms and dry spells. The meanreverting Ornstein-Uhlenbeck process, which is a stochastic differe… Show more

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Cited by 36 publications
(13 citation statements)
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References 24 publications
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“…The model may also be extended in that the predictor variable itself may be modelled as an Ornstein-Uhlenbeck process, tracing some optimum. The Ornstein-Uhlenbeck process has also been proposed for modelling of drought and flood risks (Unami et al 2010) and survival data (Aalen and Gjessing 2004) and has been widely used in financial modelling (Stein and Stein 1991;BarndorffNielsen and Shephard 2001;Benth et al 2007). …”
Section: Optimality Modelsmentioning
confidence: 99%
“…The model may also be extended in that the predictor variable itself may be modelled as an Ornstein-Uhlenbeck process, tracing some optimum. The Ornstein-Uhlenbeck process has also been proposed for modelling of drought and flood risks (Unami et al 2010) and survival data (Aalen and Gjessing 2004) and has been widely used in financial modelling (Stein and Stein 1991;BarndorffNielsen and Shephard 2001;Benth et al 2007). …”
Section: Optimality Modelsmentioning
confidence: 99%
“…10 to obtain U and u * as functions of s, x, and y. The same upwind discretization scheme as in Unami et al (2010) is applied to the weak form of Eq. 10, which is written as Z…”
Section: Computational Methods and Applicationmentioning
confidence: 99%
“…There is substantially no rain in the dry season from November to mid-March. Unami et al (2010) have researched into the stochastic nature of point rainfall at several Ghanaian sites, one of which is in Bontanga River Basin, to assess drought and flood risks. Tolon/Kumbungu District containing the study area is one of the districts with high incidence of dracunculiasis.…”
Section: Description Of Study Areamentioning
confidence: 99%