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(It is not required to have stationary increments as a L\u00e9vy process.) Its law \\(\\mu_t\\) admits a L\u00e9vy-Khinchin representation, with generalized drift term, say \\(\\gamma= (t\\mapsto \\gamma_t)\\). \\(X_t\\) is known to be a semi-martingale when \\(\\gamma\\) has a locally bounded variation. The author shows first that this happens if and only if \\(\\widehat\\mu_t\\) admits a factorization   \\[ \\widehat\\mu_t(z)= \\exp\\Biggl[\\int^t_0 \\log(\\widehat\\rho_s(z)\\,\\sigma(ds)\\Biggr], \\]   where (mainly) \\(\\sigma\\) is some atomless Radon measure and \\(\\rho_s\\) is some infinitely divisible law on \\(\\mathbb{R}^d\\). This happens in particular if \\(X_t\\) is self-similar.    Such so-called ``natural'' additive processes \\(X_t\\) are then shown to be in one-to-one correspondence with random measures mapping disjoint sets on independent variables, which leads of course to a simple construction of the stochastic integrals \\(\\int f(s)\\,dX_s\\) (with deterministic integrands \\(f\\)). Finally, the author shows (under the hypothesis that \\(X_t\\) is natural, has a finite log-moment, and has periodically stationary increments) that for any positive definite matrix \\(Q\\), the integral \\(\\int^\\infty_0 e^{-sQ} \\,dX_s\\) 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