XII: 06, 51-52, LNM 649 (1978)
GARCIA, M.; MAILLARD, P.; PELTRAUT, Y.
Une martingale de saut multiplicatif donné (Martingale theory)
Given a totally inaccessible stopping time $T$, it is shown how to construct a strictly positive martingale $M$ with $M_0=1$, such that its only jump occurs at time $T$ and $M_T/M_{T-}=K$, a strictly positive constant
Comment: See also 1308
Keywords: Totally inaccessible stopping times
Nature: Original
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