A change of variable formula with Itô correction term (Q1958460)
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A change of variable formula with Itô correction term (English)
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29 September 2010
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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.
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Stochastic integration
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quartic variation
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quadratic variation
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stochastic partial differential equations
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long-range dependence
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iterated Brownian motion
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fractional Brownian motion
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self-similar processes
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