On Volterra equations driven by semimartingales
Stochastic equations of the form \[ X_ t=H_ t+\int^{t}_{0}F(t,s,X)dZ_ s \] are considered where Z is a finite- dimensional semimartingale, H is a cadlag process and F is some functional. The reasoning is based on \textit{P. Protter's} transformation rule [Ann. Probab. 13, 519-530 (1985; Zbl 0567.60065)], on a Gronwall type inequality and a domination property for semimartingales proved in the paper. Existence and pathwise uniqueness of strong solutions of Volterra equations driven by semimartingales are established. The present results mark a certain progress in the existing literature. Finally convergence of some approximating processes to the solution is considered.
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