Bounded Girsanov drift does not preserve true martingales under compensation ($M\in \mathcal{M}(P)\nRightarrow M-⟨M,W⟩\in \mathcal{M}(Q),dQ=e^{W_1-1/2}dP$)

Let $W$ be a P-Brownian motion on $[0,1]$ and tilt by the bounded constant drift integrand one, so $dQ=e^{W_1-1/2}dP$. Then $W_s^Q=W_s-s$ is Q-Brownian motion, either by Girsanov theorem or direct Gaussian exponential tilting. Set $a=1/2$,The density of $W_a$ under P is ${\pi }^{-1/2}{e}^{-x^2}$, so ${\mathbb{E}}_{P}H={\pi }^{-1/2}\int (1+x^2{)}^{-1}dx<\infty$. Independence of future Brownian increments makes $M$ a continuous true P-martingale. Under Q, that density is multiplied by $e^{x-1/4}$, so ${\mathbb{E}}_{Q}H=\infty$.

For $s>a$, its compensated local martingale isThe future Q-Brownian increment is independent of the positive variable $H$ and has positive finite mean absolute value. Hence the displayed variable has infinite expected absolute value under Q and is not a true martingale. This shows why the general Girsanov theorem promises a local martingale, while a true-martingale conclusion needs an additional integrability condition such as Girsanov compensation with square-integrable input.