  The famous It\^o-Stratonovich dilemma arises when one examines a dynamical
system with a multiplicative white noise. In physics literature, this dilemma
is often resolved in favour of the Stratonovich prescription because of its two
characteristic properties valid for systems driven by Brownian motion: (i) it
allows physicists to treat stochastic integrals in the same way as conventional
integrals, and (ii) it appears naturally as a result of a small correlation
time limit procedure. On the other hand, the Marcus prescription [IEEE Trans.
Inform. Theory 24, 164 (1978); Stochastics 4, 223 (1981)] should be used to
retain (i) and (ii) for systems driven by a Poisson process, L\'evy flights or
more general jump processes. In present communication we present an in-depth
comparison of the It\^o, Stratonovich, and Marcus equations for systems with
multiplicative jump noise. By the examples of areal-valued linear system and a
complex oscillator with noisy frequency (the Kubo-Anderson oscillator) we
compare solutions obtained with the three prescriptions.
