change of measure martingale
There's a given probability space equipped with a filtration and a subfiltration .
And now I want to do a change of measure
is an estimator for the unknown parameter which has a normal prior distribution
and is a brownian motion with respect to
I've also an explicit version of
is a brownian motion with respect to and is independent of
How can I now prove, that is a martingale?
I only know the Novikov condition,
But I think this condition isn't fulfilled.
Can anybody help me?
Thanks in advance!