  We study the time-fractional stochastic heat equation driven by time-space
white noise with space dimension $d\in\mathbb{N}=\{1,2,...\}$ and the
fractional time-derivative is the Caputo derivative of order $\alpha \in
(0,2)$. We consider the equation in the sense of distribution, and we find an
explicit expression for the $\mathcal{S}'$-valued solution $Y(t,x)$, where
$\mathcal{S}'$ is the space of tempered distributions. Following the
terminology of Y. Hu \cite{Hu}, we say that the solution is \emph{mild} if
$Y(t,x) \in L^2(\mathbb{P})$ for all $t,x$, where $\mathbb{P}$ is the
probability law of the underlying time-space Brownian motion. It is well-known
that in the classical case with $\alpha = 1$, the solution is mild if and only
if the space dimension $d=1$. We prove that if $\alpha \in (1,2)$ the solution
is mild if $d=1$ or $d=2$. If $\alpha < 1$ we prove that the solution is not
mild for any $d$.
