Vienna University of Technology

About: Vienna University of Technology is a education organization based out in Vienna, Austria. It is known for research contribution in the topics: Laser & Cloud computing. The organization has 16723 authors who have published 49341 publications receiving 1302168 citations.

Improving runoff prediction through the assimilation of the ASCAT soil moisture product

Abstract: . The role and the importance of soil moisture for meteorological, agricultural and hydrological applications is widely known. Remote sensing offers the unique capability to monitor soil moisture over large areas (catchment scale) with, nowadays, a temporal resolution suitable for hydrological purposes. However, the accuracy of the remotely sensed soil moisture estimates has to be carefully checked. The validation of these estimates with in-situ measurements is not straightforward due the well-known problems related to the spatial mismatch and the measurement accuracy. The analysis of the effects deriving from assimilating remotely sensed soil moisture data into hydrological or meteorological models could represent a more valuable method to test their reliability. In particular, the assimilation of satellite-derived soil moisture estimates into rainfall-runoff models at different scales and over different regions represents an important scientific and operational issue. In this study, the soil wetness index (SWI) product derived from the Advanced SCATterometer (ASCAT) sensor onboard of the Metop satellite was tested. The SWI was firstly compared with the soil moisture temporal pattern derived from a continuous rainfall-runoff model (MISDc) to assess its relationship with modeled data. Then, by using a simple data assimilation technique, the linearly rescaled SWI that matches the range of variability of modelled data (denoted as SWI*) was assimilated into MISDc and the model performance on flood estimation was analyzed. Moreover, three synthetic experiments considering errors on rainfall, model parameters and initial soil wetness conditions were carried out. These experiments allowed to further investigate the SWI potential when uncertain conditions take place. The most significant flood events, which occurred in the period 2000–2009 on five subcatchments of the Upper Tiber River in central Italy, ranging in extension between 100 and 650 km2, were used as case studies. Results reveal that the SWI derived from the ASCAT sensor can be conveniently adopted to improve runoff prediction in the study area, mainly if the initial soil wetness conditions are unknown.

Exponential hedging and entropic penalties

Abstract: We solve the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a duality relation between this problem and a dual problem for local martingale measures Q for X where we either minimize relative entropy minus a correction term involving B or maximize the Q-price of B subject to an entropic penalty term. Our result is robust in the sense that it holds for several choices of the space of hedging strategies. Applications include a new characterization of the minimal martingale measure and risk-averse asymptotics.

Exponential Hedging and Entropic Penalties

Abstract: We solve the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a duality relation between this problem and a dual problem for local martingale measures Q for X where we either minimize relative entropy minus a correction term involving B or maximize the Q-price of B subject to an entropic penalty term. Our result is robust in the sense that it holds for several choices of the space of hedging strategies. Applications include a new characterization of the minimal martingale measure and risk-averse asymptotics.