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Dispersion Movie

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Title Dispersion Movie
Title of Series Video supplements to the paper 'Fractional Brownian motion, the Matérn process, and stochastic modeling of turbulent dispersion"
Author Lilly, Jonathan
Early, Jeffrey
Contributors Sykulski, Adam
Olhede, Sofia
License CC Attribution 3.0 Germany:
You are free to use, adapt and copy, distribute and transmit the work or content in adapted or unchanged form for any legal purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
DOI 10.5446/31981
Publisher Copernicus Publications
Release Date 2017
Language Silent film

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Subject Area Physics
Abstract Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm), with the spectral slope at high frequencies being 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.

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