期刊
JOURNAL OF FUNCTIONAL ANALYSIS
卷 228, 期 1, 页码 114-143出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jfa.2005.02.008
关键词
stochastic heat equation; Malliavin calculus; Ito's formula; Tanaka's formula; chaos decomposition
类别
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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