A change of variable formula with Itô correction term (Q1958460): Difference between revisions

The authors consider the stochastic heat equation involving a space-time white noise. Its solution, considered as a function of time, is a continuous centered Gaussian process and has a non-trivial quartic variation. It follows that it is not a semimartingale, so a stochastic integral with respect to it can not be defined in the classical Itô sense. In this connection, the new construction of a stochastic integral is proposed, where the integral is a limit of midpoint-style discrete Riemann sums, and the limit is taken in distribution in the Skorokhod space of cadlag functions. The Itô-type correction term in the change of variable formula is an ordinary Itô integral with respect to a Brownian motion that is independent of initial process that is integrated.