Fractional Brownian motion, the Matérn process, and stochastic
modeling of turbulent dispersion
Jonathan M. Lilly1, Adam M. Sykulski2, Jeffrey J. Early1, and Sofia C. Olhede21NorthWest Research Associates, PO Box 3027, Bellevue, WA, USA 2Department of Statistical Science, University College London, Gower Street, London WC1E 6BT, UK
Received: 14 Mar 2017 – Accepted for review: 21 Mar 2017 – Discussion started: 28 Mar 2017
Abstract. Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high frequencies is associated with the degree of small-scale roughness or fractal dimension. However, a broad class of real-world signals have a high-frequency slope, like fBm, but a plateau in the vicinity of zero frequency. This low-frequency plateau, it is shown, implies that the temporal integral of the process exhibits diffusive behavior, dispersing from its initial location at a constant rate. Such processes are not well modeled by fBm, which has a singularity at zero frequency corresponding to an unbounded rate of dispersion. A more appropriate stochastic model is a much lesser-known random process called the Matérn process, which is shown herein to be a damped version of fractional Brownian motion. This article first provides a thorough introduction to fractional Brownian motion, then examines the details of the Matérn process and its relationship to fBm. An algorithm for the simulation of the Matérn process in O(N log N) operations is given. Unlike fBm, the Matérn process is found to provide an excellent match to modeling velocities from particle trajectories in an application to two-dimensional fluid turbulence.
Lilly, J. M., Sykulski, A. M., Early, J. J., and Olhede, S. C.: Fractional Brownian motion, the Matérn process, and stochastic
modeling of turbulent dispersion, Nonlin. Processes Geophys. Discuss., doi:10.5194/npg-2017-15, in review, 2017.