It\^o's Formula for the Rearranged Stochastic Heat Equation

TL;DR

This paper establishes an Itô's formula for the Rearranged Stochastic Heat Equation, linking the solution's generator to smooth functions on probability measures and analyzing the reflection term within this stochastic framework.

Contribution

It introduces a version of Itô's formula for the RSHE, identifying the generator on the space of probability measures and analyzing the reflection term's orthogonality.

Findings

Identifies the generator of RSHE solutions on probability measure space.

Proves the reflection term is orthogonal to the Wasserstein derivative.

Provides bounds for the gradient of the RSHE solution.

Abstract

The purpose of this short note is to prove a convenient version of It\^o's formula for the Rearranged Stochastic Heat Equation (RSHE) introduced by the two authors in a previous contribution. This equation is a penalised version of the standard Stochastic Heat Equation (SHE) on the circle subject to a coloured noise, whose solution is constrained to stay within the set of symmetric quantile functions by means of a reflection term. Here, we identity the generator of the solution when it is acting on functions defined on the space ${\mathcal P}_2({\mathbb R})$ (of one-dimensional probability measures with a finite second moment) that are assumed to be smooth in Lions' sense. In particular, we prove that the reflection term in the RSHE is orthogonal to the Lions (or Wasserstein) derivative of smooth functions defined on ${\mathcal P}_2({\mathbb R})$. The proof relies on non-trivial bounds for the gradient of the solution to the RSHE.