For a short proof assuming integrability of exp ⁡ ⁡ ( h ) with respect to P, let Q ∗ ∗ have P -density exp ⁡ ⁡ h ( θ θ ) E P [ exp ⁡ ⁡ h ] , i.e. Q ∗ ∗ ( d θ θ ) = exp ⁡ ⁡ h ( θ θ ) E P [ exp ⁡ ⁡ h ] P ( d θ θ ) Then