On Émery's inequality and a variation-of-constants formula
A generalization of Émery's inequality for stochastic integrals is shown for convolution integrals with respect to an arbitrary semimartingale. The inequality is used to prove existence and uniqueness of solutions of equations of variation-of-constants type. As a consequence, it is shown that the solution of a typical semilinear delay differential equation driven by a general semimartingale satisfies a variation-of-constants formula.
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