IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v199y2025ip2s0960077925007283.html

Non-Markovian superposition process model for stochastically describing concentration–discharge relationship

Author

Listed:
  • Yoshioka, Hidekazu
  • Yoshioka, Yumi

Abstract

Concentration–discharge relationship is crucial in river hydrology, as it reflects water quality dynamics across both low- and high-flow regimes. However, its mathematical description is still challenging owing to the underlying complex physics and chemistry. This study proposes an infinite-dimensional stochastic differential equation model that effectively describes the concentration–discharge relationship while staying analytically tractable, along with the computational aspects of the model. The proposed model is based on the superposition of the square-root processes (or Cox–Ingersoll–Ross processes) and its variants, through which both the long-term moments and autocovariance of river discharge and the fluctuation of water quality index can be derived in closed forms. Particularly, the model captures both long (power decay) and short (exponential decay) memories of the fluctuation in a unified manner, while quantifying the hysteresis in the concentration–discharge relationship through mutual covariances with time lags. Based on a verified numerical method, the model is computationally applied to weekly data on total nitrogen (TN. long memory with moderate fluctuation), total phosphorus (TP. short memory with large fluctuation), and total organic carbon (TOC. short memory with moderate fluctuation) from a rural catchment to validate its applicability to real-world datasets. Based on the identified model and its mutual covariance, our findings indicate that, on average, the peak concentrations of these water quality indices appear approximately 1 day after discharge. Finally, the study discusses the effects of model uncertainty on mutual covariance.

Suggested Citation

  • Yoshioka, Hidekazu & Yoshioka, Yumi, 2025. "Non-Markovian superposition process model for stochastically describing concentration–discharge relationship," Chaos, Solitons & Fractals, Elsevier, vol. 199(P2).
  • Handle: RePEc:eee:chsofr:v:199:y:2025:i:p2:s0960077925007283
    DOI: 10.1016/j.chaos.2025.116715
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077925007283
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.chaos.2025.116715?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Kamrani, Minoo & Hausenblas, Erika, 2025. "An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 229(C), pages 673-689.
    2. Lingfei Li & Jingyu Wu & Minting Zhu & Mancang Wang & Yaoyuan Li, 2024. "Stochastic Differential Games of Carbon Emission Reduction in the Four-Tier Supply Chain System Based on Reference Low-Carbon Level," Sustainability, MDPI, vol. 16(19), pages 1-38, October.
    3. Li, Pei-Sen, 2019. "A continuous-state polynomial branching process," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2941-2967.
    4. Yoshioka, Hidekazu, 2024. "Modeling stationary, periodic, and long memory processes by superposed jump-driven processes," Chaos, Solitons & Fractals, Elsevier, vol. 188(C).
    5. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
    6. Yoshioka, Hidekazu & Yoshioka, Yumi, 2025. "Stochastic volatility model with long memory for water quantity-quality dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 195(C).
    7. Eduardo Abi Jaber, 2024. "Simulation of square-root processes made simple: applications to the Heston model," Post-Print hal-04839193, HAL.
    8. Yoshioka, Hidekazu & Yoshioka, Yumi, 2024. "Generalized divergences for statistical evaluation of uncertainty in long-memory processes," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    9. Aurélien Alfonsi, 2015. "Affine Diffusions and Related Processes: Simulation, Theory and Applications," Post-Print hal-03127212, HAL.
    10. Alfonsi, Aurélien, 2025. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Stochastic Processes and their Applications, Elsevier, vol. 181(C).
    11. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yoshioka, Hidekazu, 2025. "CIR bridge for modeling of fish migration on sub-hourly scale," Chaos, Solitons & Fractals, Elsevier, vol. 199(P3).
    2. Yoshioka, Hidekazu, 2024. "Modeling stationary, periodic, and long memory processes by superposed jump-driven processes," Chaos, Solitons & Fractals, Elsevier, vol. 188(C).
    3. Yoshioka, Hidekazu, 2025. "Superposition of interacting stochastic processes with memory and its application to migrating fish counts," Chaos, Solitons & Fractals, Elsevier, vol. 192(C).
    4. Pei-Sen Li & Xiaowen Zhou, 2023. "Integral Functionals for Spectrally Positive Lévy Processes," Journal of Theoretical Probability, Springer, vol. 36(1), pages 297-314, March.
    5. Mohamed Ben Alaya & Ahmed Kebaier & Djibril Sarr, 2024. "Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure," Papers 2409.12783, arXiv.org.
    6. Jose Da Fonseca & Patrick Wong, 2026. "Joint survival annuity derivative valuation in the linear-rational Wishart mortality model," Papers 2602.06415, arXiv.org.
    7. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.
    8. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    9. Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
    10. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    11. Micha{l} Barski & Rafa{l} {L}ochowski, 2024. "Affine term structure models driven by independent L\'evy processes," Papers 2402.07503, arXiv.org.
    12. Eduardo Abi Jaber & Elie Attal, 2025. "Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian," Papers 2504.19885, arXiv.org.
    13. Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
    14. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
    15. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2023. "Wrong Way Risk corrections to CVA in CIR reduced-form models," Computational Management Science, Springer, vol. 20(1), pages 1-28, December.
    16. Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
    17. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
    18. Andras Fulop & Junye Li & Jun Yu, 2012. "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series gd12-264, Institute of Economic Research, Hitotsubashi University.
    19. Damien Lamberton & Giulia Terenzi, 2019. "Properties of the American price function in the Heston-type models," Working Papers hal-02088487, HAL.
    20. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:199:y:2025:i:p2:s0960077925007283. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.