Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case

DOI10.1016/J.JFA.2005.02.008zbMath1084.60039OpenAlexW2090100354MaRDI QIDQ2573416

Samy Tindel, Ivan Nourdin, Mihai Gradinaru

Publication date: 22 November 2005

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2005.02.008

zbMATH Keywords

Malliavin calculus, Itô's formula, Tanaka's formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (14)

The numerical approximation of stochastic partial differential equations ⋮ Stability in mean of partial variables for stochastic reaction diffusion systems ⋮ A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary ⋮ Itô's formula for linear fractional PDEs ⋮ Data-adaptive harmonic spectra and multilayer Stuart-Landau models ⋮ Theory and application of stability for stochastic reaction diffusion systems ⋮ Taylor expansions of solutions of stochastic partial differential equations with additive noise ⋮ Analysis of the Rosenblatt process ⋮ An Itô type formula for the additive stochastic heat equation ⋮ Temporal variation for fractional heat equations with additive white noise ⋮ A REMARK ON THE RENORMALIZED SQUARE OF THE SOLUTION OF THE STOCHASTIC HEAT EQUATION AND ON ITS ASSOCIATED EVOLUTION ⋮ Integration by parts on the law of the modulus of the Brownian bridge ⋮ A mild Itô formula for SPDEs ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise

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