On evaluating the present or future state of integrated urban water systems, sewer drainage models, with rainfall as primary input, are often used to calculate the expected return periods of given detrimental acute pollution events and the uncertainty thereof. The model studied in the present paper incorporates notions of physical theory in a stochastic model of water level and particulate chemical oxygen demand (COD) at the overflow point of a Dutch combined sewer system. A stochastic model based on physical mechanisms has been formulated in continuous time. The extended Kalman filter has been used in conjunction with a maximum likelihood criteria and a non-linear state space formulation to decompose the error term into system noise terms and measurement errors. The bias generally obtained in deterministic modelling, by invariably and often inappropriately assuming all error to result from measurement inaccuracies, is thus avoided. Continuous time stochastic modelling incorporating physical, chemical and biological theory presents a possible modelling alternative. These preliminary results suggest that further work is needed in order to fully appreciate the method's potential and limitations in the field of urban runoff pollution modelling.
On Markov Modulated Mean-Reverting Price-Difference Models