Harris, S.C.; Roberts, M.I. - In: Statistics & Probability Letters 79 (2009) 8, pp. 1129-1133
We consider a martingale change of measure and clarify that in general 1/Zt is only a supermartingale under . Defining [Upsilon]:=inf{t>=0:Zt=0} as the extinction time, we then give a necessary and sufficient condition under which the identity holds.