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If you're not concerned with continuity, integrability, or any of the niceties of real analysis (and there's nothing in the problem that says you are), then, given $a\ne 0$ and $g$, you can let $f$ be any function on the interval $[0,|a|)$ and simply extend it to all real numbers by repeated applications of the given functional equation (written in the form $f(x) = f(x+a) - ag(x)$ to extend it in the direction opposite to the sign of $a$). If $a=0$, it's clear $f$ can be anything.