Exponential tilting

Exponential tilting by $\theta$ replaces a law $P$ byUnder the tilted law, the mean is ${\psi }^{\prime }(\theta )$ whenever the derivative exists.

Suppose $\varphi (\lambda )=\mathbb{E}{e}^{\lambda X}<\infty$ for all $\lambda \ge 0$. Under the exponential tilting $d{\mu }^{\lambda }=e^{\lambda x}d\mu /\varphi (\lambda )$, $X$ is an integrable random variable whenever $\lambda >0$: its negative exponential tail is bounded, and its positive contribution is dominated by a larger positive exponential moment. Differentiation under the integral sign gives the displayed mean. At the endpoint $\lambda =0$, the positive part of $X$ is integrable, but the negative part need not be. The right derivative ${\varphi }_{+}^{\prime }(0)=\mathbb{E}X$ is valid as an extended value, possibly $-\infty$; a finite mean at zero requires an extra negative-tail integrability assumption.