Half-volatility measure for a square-root stock claim ($Z=\mathcal{E}(\frac{1}{2}\int \sigma dW)$)

For bounded predictable $\sigma$ on $[0,T]$, the stochastic exponential $Z_s=\exp (\frac{1}{2}{\int }_0^s{\sigma }_{u}d{W}_u-\frac{1}{8}{\int }_0^s{\sigma }_u^{2}du)$ is a positive martingale by the Novikov condition. Under $dQ/dP=Z_T$, the Bayes formula for conditional expectation givesIndeed, the square-root stock ratio is $(Z_T/Z_t)\exp (-\frac{1}{8}{\int }_t^T{\sigma }_u^{2}du)$. This exact identity gives the bounds on square-root stock implied volatility by bounding integrated variance pathwise. The Girsanov theorem gives $W^Q=W-\frac{1}{2}\int \sigma du$. The measure is an auxiliary pricing identity for this payoff, not a claim that it is an equivalent martingale measure for the original stock.