Power-Law Noises over General Spatial Domains and on Nonstandard Meshes

Abstract

Power-law noises abound in nature and have been observed extensively in both time series and spatially varying environmental parameters. Although recent years have seen the extension of traditional stochastic partial differential equations to include systems driven by fractional Brownian motion, spatially distributed scale-invariance has received comparatively little attention, especially for parameters defined over nonstandard spatial domains. This paper discusses the extension of power-law noises to general spatial domains by outlining their theoretical underpinnings as well as addressing their numerical simulation on arbitrary meshes. Three computational algorithms are presented for efficiently generating their sample paths, accompanied by numerous numerical illustrations.