First thing I'd do is make sure the turbo can spin properly. Allow the engine to cool, then clean the hoses around the turbocharger and then dry them. Remove the clamp and take the inlet hose off the turbocharger.
Try turning the little fan inside (impeller). It should turn smoothly, perhaps with a very small amount of resistance when cold, but it should not feel gritty at all. This thing should spin at 60,000rpm or more - if there's any grittiness, or loose play in the shaft (give it a wiggle) then at those speeds it's going to come apart.
If it's stuck, or gritty, it is likely to be a bearing issue.
It could also be a broken turbine blade (in the exhaust side). Unfortunately you need to unbolt the exhaust and look in that way - obviously when cold, this is the hottest part of the exhaust system.
That's where I'd start. Turbochargers are reasonably simple - exhaust gas spins the turbine, the impeller is on that shaft and pumps air into the air intake.
While you're checking the system out, take a look inside the intake manifold and make sure it's not full of gunk. Soot from the EGR combined with oil from the PCV eventually cause large black deposits that dampen the flow of air.
