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

In this paper, we consider the linear stochastic heat equation with additive noise in dimension one. Then, using the representation of its solution X as a stochastic convolution of the cylindrical Brownian motion with respect to an operator-valued kernel, we derive Itô's- and Tanaka's-type formulae associated to X.

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Source ISSN: 0022-1236
Author Gradinaru, Mihai, Nourdin, Ivan, Tindel, Samy
Maintainer CCSD
Last Updated May 7, 2026, 23:58 (UTC)
Created May 7, 2026, 23:58 (UTC)
Identifier hal-00091290
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Institut Élie Cartan de Nancy (IECN) ; Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Institut National Polytechnique de Lorraine (INPL)-Centre National de la Recherche Scientifique (CNRS)
creator Gradinaru, Mihai
date 2005-05-07T00:00:00
harvest_object_id 0031bfc2-e7e4-4094-bdf8-cb111b903344
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-11-04T00:00:00
relation info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jfa.2005.02.008
set_spec type:ART