Density process ($L_t=\mathbb{E}[L_T\mid {\mathcal{F}}_t]$)

For a Radon-Nikodym derivative $L_T\ge 0$ with $\mathbb{E}{L}_T=1$, its conditional-expectation process is a nonnegative martingale. If $L_T>0$ almost surely, it defines an equivalent probability measure. A stochastic exponential satisfying the Novikov condition is a common positive density process.