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The noise \\(X_t\\) is the solution of an It\u00f4 equation of the form  \\[ dX_t=b(t,X_t)dt+\\sigma(t,X_t)dB_t,\\quad X_0=x, \\]  where \\(B_t\\) is a Brownian motion and the coefficients are sufficiently smooth. The term \\({\\partial\\over\\partial x}u(t,x)\\dot X_t\\) is interpreted both in the It\u00f4 and Stratonovich sense, comparing the results. Examples treated by the authors include Burgers equation and Korteweg-de Vries equation. Moreover, the general problem is treated in the multidimensional case, and for systems of nonlinear equations. The paper is based on the transformation \\(u(t,x)=\\overline u(t,x+X_t)\\), where \\(\\overline u(t,x)\\) is the solution of a suitable deterministic nonlinear partial differential equation, of different form depending on the It\u00f4 or Stratonovich interpretation. The equations for \\(\\overline u(t,x)\\) and \\(u(t,x)\\) are related by the It\u00f4-Ventzel formula. By means of this transformation the authors prove existence and uniqueness results, and compare the It\u00f4 and the Stratonovich models, pointing out the competition between the noise term and the diffusion term (when it is 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