A remark on Kunita's decomposition theorem (Q914250)

The paper extends a result of \textit{H. Kunita} [Stochastic integrals, Proc. LMS Durham Symp. 1980, Lect. Notes Math. 851, 213-255 (1981; Zbl 0474.60046)] which obtains an explicit solution to linear stochastic differential equations of the form \[ d\xi (t)=\sum^{m}_{j=0}x_ j(\xi (t))\circ dM_ j(t), \] where the vector fields \(\{x_ 0,x_ 1,...,x_ m\}\) generate a solvable Lie algebra and \(M_ 0,M_ 1,...,M_ m\) are continuous semimartingales. Here \(M_ 0,M_ 1,...,M_ m\) are allowed to be arbitrary semimartingales and the method is based on \textit{M. Emery}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 41, 241-262 (1978; Zbl 0351.60054).