Proof.
Since X (and hence Y) is locally Noetherian all 4 types of regular immersions agree, and moreover we may check whether a morphism is a regular immersion on the level of local rings, see Lemma 31.20.8. The implication (1) \Rightarrow (2) is Lemma 31.21.7. The implication (2) \Rightarrow (3) is Lemma 31.21.6. Thus it suffices to prove that (3) implies (1).
Assume (3). Set A = \mathcal{O}_{X, x}. Denote I \subset A the kernel of the surjective map \mathcal{O}_{X, x} \to \mathcal{O}_{Y, y} and denote J \subset A the kernel of the surjective map \mathcal{O}_{X, x} \to \mathcal{O}_{Z, z}. Note that any minimal sequence of elements generating J in A is a quasi-regular hence regular sequence, see Lemma 31.20.5. By assumption the conormal sequence
0 \to I/IJ \to J/J^2 \to J/(I + J^2) \to 0
is split exact as a sequence of A/J-modules. Hence we can pick a minimal system of generators f_1, \ldots , f_ n, g_1, \ldots , g_ m of J with f_1, \ldots , f_ n \in I a minimal system of generators of I. As pointed out above f_1, \ldots , f_ n, g_1, \ldots , g_ m is a regular sequence in A. It follows directly from the definition of a regular sequence that f_1, \ldots , f_ n is a regular sequence in A and \overline{g}_1, \ldots , \overline{g}_ m is a regular sequence in A/I. Thus j is a regular immersion at y and i is a regular immersion at z.
\square
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