Summary: In this paper we are going to apply the Henstock-Kurzweil integrals defined on an unbounded intervals to differential and integral equations defined on such intervals. To deal with linear differential equations we examine convolution involving functions integrable in Henstock-Kurzweil sense. In the case of nonlinear Hammerstein integral equation as well as Volterra integral equation we look for solutions in the space of functions of bounded variation in the sense of Jordan.