 Exponential Laplace martingale of a compound Poisson process

Let $Y_t={\sum }_{j=1}^{N_t}{X}_j$ for a rate-$\lambda$ Poisson process and independent and identically distributed nonnegative marks independent of that process, with $\varphi (q)=\mathbb{E}{e}^{-q{X}_1}$. The Laplace transform of a nonnegative random variable for the increment over $[s,t]$ is $\exp [\lambda (t-s)(\varphi (q)-1)]$. That increment is independent of the past of $Y$, so the displayed nonnegative process has mean one and satisfies $\mathbb{E}[Z_t\mid \sigma (Y_u:u\le s)]=Z_s$. No finite first moment of the marks is needed for this martingale when $q\ge 0$.