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An Itô type formula for the additive stochastic heat equation

Published 5 Mar 2018 in math.PR | (1803.01744v3)

Abstract: We use the theory of regularity structures to develop an It^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth enough function $\varphi$ we can express the random distribution $(\partial_t-\partial_{xx})\varphi(u)$ and the random field $\varphi(u)$ in terms of the reconstruction of some modelled distributions. The resulting objects are then identified with some classical constructions of stochastic calculus.

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