A new formula for some linear stochastic equations with applications (Q968770)

Let \(Z\) be a cádlág adapted semimartingale and \(Y\) a cádlág adapted and with bounded variation on compact intervals. The authors in this paper examines the stochastic linear equation \[ X_t = Y_t + \int_{[0,t]} X_{s-} dZ_s. \] They show that the unique cádlág adapted solution is given via the representation \[ X_t = \int_{[0,t]} U_{u,t}dY_u, \] where \(U_{u,t}\) is defined explicitly in terms of \(Z\). Next they discuss an application to the case where \(Y\) and \(-Z\) are nondecreasing processes, jointly have stationary increments and the jumps of \(-Z\) are bounded by 1.