Fractional Brownian motion and fractional Gaussian noise in subsurface hydrology: A review, presentation of fundamental properties, and extensions

Abstract

Recent studies have shown that fractional Brownian motion (fBm) and fractional Gaussian noise (fGn) are useful in characterizing subsurface heterogeneities in addition to geophysical time series. Although these studies have led to a fairly good understanding of some aspects of fBm/fGn, a comprehensive introduction to these stochastic, fractal functions is still lacking in the subsurface hydrology literature. In this paper, efforts have been made to define fBm/fGn and present a development of their mathematical properties in a direct yet rigorous manner. Use of the spectral representation theorem allows one to derive spectral representations for fBm/fGn even though these functions do not have classical Fourier transforms. The discrete and truncated forms of these representations have served as a basis for synthetic generation of fBm/fGn. The discrete spectral representations are developed and various implications discussed. In particular, it is shown that a discrete form of the fBm spectral representation is equivalent to the well known Weierstrass‐Mandelbrot random fractal function. Although the full implications are beyond the scope of the present paper, it is observed that discrete spectral representations of fBm constitute stationary processes even though fBm is nonstationary. A new and general spectral density function is introduced for construction of complicated, anisotropic, (3‐D) fractals, including those characterized by vertical fGn and horizontal fBm. Such fractals are useful for modeling anisotropic subsurface heterogeneities but cannot be generated with existing schemes. Finally, some basic properties of fractional Lévy motion and concepts of universal multifractals, which can be considered as generalizations of fBm/fGn, are reviewed briefly.