Gaussian exponential martingale with deterministic variance ($M_t=\exp (X_t-v(t)/2)$)

Let $X_0=0$ and let $X$ be a centered Gaussian process whose increments are independent of the past filtration, with deterministic variance $v(t)$. Its displayed exponential is a positive martingale. Indeed, $X_t-X_s$ is a centered Gaussian random variable with variance $v(t)-v(s)$, so the Gaussian moment-generating function givesThe sign-reversed process has the same variance and the same conclusion. Continuity of paths is unnecessary for this conditional-expectation argument.