Backward stochastic differential equations in the plane (Q1611265)

Backward stochastic differential equations have been introduced by \textit{E. Pardoux} and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55-61 (1990; Zbl 0692.93064)]. They proved existence and uniqueness of an adapted solution \((Y_t, Z_t)\) of the equation \(dY_t= -f(t;Y_t,Z_t) dt+ Z_t dW_t\), \(t\in [0,T]\), driven by a Brownian motion \(W\) and with terminal condition \(Y_T= \xi\in L^2({\mathcal F}^W_T)\). The authors of the present paper study this backward equation in the plan: \(W\) is replaced by a two-parameter Wiener process, the time interval \([0,T]\) by the parameter space \([0,s_0]\times [0,t_0]\), and the value of the two-parameter process \(Y_{s,t}\) at \((s_0,t_0)\) is given. Assuming that \((y,z)\to f(s,t;y,z)\) is Lipschitz, uniformly in \((s,t)\in[0,s_0]\times [0,t_0]\), they prove existence and uniqueness of a solution \((Y_{s,t}, Z_{s,t})\) provided that \(s_0\cdot t_0> 0\) is small enough. The proof is given by means of the two-parameter martingale representation property, a two-parameter Gronwall's type lemma and Picard's approximation scheme.