Backward Stochastic Differential Equations in the Plane |
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| Authors: | Lanjri Zaïdi N. Nualart D. |
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| Affiliation: | (1) Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain |
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| Abstract: | 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 (s0,t0) 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. |
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| Keywords: | two-parameter Wiener process backward stochastic differential equations |
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