Quadratic covariations for the solution to a stochastic heat equation

TL;DR

This paper investigates the quadratic covariations of the solution to a stochastic heat equation driven by space-time white noise, revealing new properties of the process in both space and time dimensions.

Contribution

It introduces the analysis of quadratic covariations for the solution to a stochastic heat equation, showing nontrivial finite quadratic variation in space and developing generalized Itô formulas.

Findings

The process in space has a nontrivial finite quadratic variation.

The forward integral with respect to this process coincides with Itô's integral.

The process is not a semimartingale, leading to new generalized Itô formulas.

Abstract

Let $u(t,x)$ be the solution to a stochastic heat equation $$ \frac{\partial}{\partial t}u=\frac12\frac{\partial^2}{\partial x^2}u+\frac{\partial^2}{\partial t\partial x}X(t,x),\quad t\geq 0, x\in {\mathbb R} $$ with initial condition $u(0,x)\equiv 0$, where $X$ is a time-space white noise. This paper is an attempt to study stochastic analysis questions of the solution $u(t,x)$. In fact, the solution is a Gaussian process such that the process $t\mapsto u(t,\cdot)$ is a bi-fractional Brownian motion seemed a fractional Brownian motion with Hurst index $H=\frac14$ for every real number $x$. However, the properties of the process $x\mapsto u(\cdot,x)$ are unknown. In this paper we consider the quadratic covariations of the two processes $x\mapsto u(\cdot,x),t\mapsto u(t,\cdot)$. We show that $x\mapsto u(\cdot,x)$ admits a nontrivial finite quadratic variation and the forward integral of some adapted processes with respect to it coincides with "It\^o's integral", but it is not a semimartingale. Moreover, some generalized It\^o's formulas and Bouleau-Yor identities are introduced.