  In this paper backward stochastic differential equations with interaction
(shorter BSDEs with interaction) are introduced. Far to our knowledge, this
type of equation is not seen in the literature before. Existence and uniqueness
result for BSDE with interaction is proved under version of Lipschitz condition
with respect to Wasserstein distance. Such kind of BSDE arises naturally when
considering Monge-Kantorovich problem. In the proof we start from discrete
measures using known result of Pardoux and Peng and approximate general measure
via Wasserstein distance.
