Geodesic
On the theory of stochastic equations in components of semimartingales
Sbornik. Mathematics, Tome 38 (1981) no. 3, pp. 381-394

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The first part of the paper is devoted to the proof of the existence and uniqueness of strong solutions of stochastic equations in components of semimartingales with coefficients depending on the whole past. In the second part variants of the comparison theorem are obtained for strong solutions of stochastic equations in semimartingales. Bibliography: 16 titles. 
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     author = {A. V. Melnikov},
     title = {On the theory of stochastic equations in components of semimartingales},
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A. V. Melnikov. On the theory of stochastic equations in components of semimartingales. Sbornik. Mathematics, Tome 38 (1981) no. 3, pp. 381-394. http://geodesic.mathdoc.fr/item/SM_1981_38_3_a3/