Change of time and change of measure

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Integer-valued Lévy processes and low latency financial econometrics (2012, background): “The class of tempered stable distributions was introduced by Tweedie (1984) (see also Hougaard (1986), Jørgensen (1987), Brix (1999) and Rosinski (2007)).”
Electricity price modeling with stochastic time change (2017, unknown): “There is an analogue of the Dambis, Dubins, Schwarz theorem for counting processes (see for example Barndorff-Nielsen and Shiryaev [5], Theorem 1.”
Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, methodology): “In practice, however, one restricts to a parametric class of equivalent probability measures, and the standard choice seems to be given by the Esscher transform, see Benth, Šaltytė Benth and Koekebakker [29], Shiryaev [63].”