Journal
JOURNAL OF FUNCTIONAL ANALYSIS
Volume 228, Issue 1, Pages 114-143Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jfa.2005.02.008
Keywords
stochastic heat equation; Malliavin calculus; Ito's formula; Tanaka's formula; chaos decomposition
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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 Ito's- and Tanaka's-type formulae associated to X. (c) 2005 Elsevier Inc. All rights reserved.
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