Let \((B(t))_{t \geqslant 0}\) be a \(B M^{1}\) and \(T<\infty\). Define \(\beta_{T}=\exp \left(\xi B(T)-\frac{1}{2} \xi^{2} Tight), \mathbb{Q}:=\beta_{T} \mathbb{P}\) and \(W(t):=B(t)-\xi t, t \in[0, T]\). Verify by a direct calculation that for all \(0