Backward stochastic differential equations in the plane

摘要

This paper is devoted to study backward stochastic differential equations in the plane driven by a Brownian sheet, where the value of the solution at the corner (s(0), t(0)) is fixed. The existence and uniqueness of a solution is obtained by means of Picard's approximation scheme and a suitable two-parameter Gronwall's type lemma. [References: 10]