Infinite interval backward stochastic differential equations in the plane (Q1432865)

Since the pioneer work of \textit{E. Pardoux} and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55--61 (1990; Zbl 0692.93064)] on nonlinear backward stochastic differential equations (for short: BSDEs), many authors have been attracted by this subject, have given improvements and developed different applications. Given a two-parameter Brownian motion \(W=(W_{z})_{z\in R_{+}^{2}}\) and a square integrable random variable \(\xi\), measurable w.r.t. the \(\sigma\)-field generated by \(W\), the author studies the BSDE \[ Y_{v}=\xi- \int _{R_{+}^{2}\backslash R_{v}} f(u,Y_{u},Z_{u})\,du- \int_{R_{+} ^{2}\backslash R_{v}}Z_{u}dW_{u}\allowbreak-\int_{R_{+}^{2}\backslash R_{v} }\int_{R_{+}^{2}\backslash R_{v}}V_{u,u^{\prime}} \,dW_{u}\,dW_{u^{\prime}}, \quad v\in R_{+}^{2}. \] Here \(Y,Z,V\) are the unknown processes; \(Y,Z\) must be \((\mathcal{F}_{v})\)-predictable and \(( V_{v,v^{\prime}}) \) \((\mathcal{F}_{v\vee v^{\prime}})\)-predictable and such that \(V_{v,v^{\prime} }=0\) whenever \(v,v^{\prime}\) are incomparable. Concerning the stochastic integrals occurring in the above equation, the reader is referred to the paper on stochastic integrals in the plane by \textit{R. Cairoli} and \textit{J. B. Walsh} [Acta Math. 134, 111--183 (1975; Zbl 0334.60026)]. Assuming that the function \(f(\omega,u,y,z)\) is predictable, square integrable for every fixed \((y,z)\), and Lipschitz in \(y\) and \(z\), with Lipschitz constants depending on \(u\) and satisfying some integrability assumption, the author proves the existence and the uniqueness of the solution for this equation. His work improves considerably an earlier paper by \textit{D. Nualart} and \textit{N. L. Zaidi} [Stochastics Stochastics Rep. 66, No. 3/4, 273--292 (1999; Zbl 0936.60055)] who studied BSDEs in the plane under a very restrictive assumption on the Lipschitz coefficient.