Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case (Q2573416): Difference between revisions

The authors study the stochastic heat equation with additive noise in dimension one, that is, \(dX_t = \Delta X_t dt + dW_t,\) \(t \in (0,T], X_0=0\), where \(W\) denotes a cylindrical Brownian motion. They understand the solution of such equation in a mild sense and can be solved explicitly in the form of a stochastic convolution. Using the representation of the solution given by the convolution of \(W\) by the operator-valued kernel \(e^{(t-s)\Delta}\), the authors obtain Itô's and Tanaka's type formulae associated to \(X\). In order to obtain these results, they adapt the methodology used to study some properties of fractional Brownian motion to their infinite-dimensional case.