On a new version of the Ito's formula for the stochastic heat equation
arXiv:0704.2018
Abstract
We derive an Itô's-type formula for the one dimensional stochastic heat equation driven by a space-time white noise. The proof is based on elementary properties of the -transform and on the explicit representation of the solution process. We also discuss the relationship with other versions of this Itô's-type formula existing in literature.
10 pages