Ito's- and Tanaka's-type formulae for the stochastic heat equation: The linear case
Overview & Synopsis
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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Document Information
| Document Title | Ito's- and Tanaka's-type formulae for the stochastic heat equation: The linear case |
|---|---|
| Author / Organization | Mihai Gradinaru, Ivan Nourdin, Samy Tindel |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2005 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-58430 |
| Original Source Link | Visit Source Page on hal.science » |