Consider the exponential martingale used in the Girsanov transformation of measure: $$Z(t) = \exp\Big(\int_0^tXdW - \frac{1}{2}\int_0^t|X|^2ds\Big)$$ so that $Z$ solves the sde $dZ = ZXdW$ where $W$ is a one dimensional Brownian motion. Under certain conditions (e.g. Novikov) on $X,$ $Z$ is a martingale. Many things are known as well, like $$W_t - \int_0^t X_sds$$ is a Brownian motion under $dQ/dP = Z(t)$ where $P$ is the original measure attached to $W.$ I'm interested in moments of $Z$ given in terms of moments of $X.$ Using the sde above, we can see that $$Z_t^2 = 1 + 2\int_0^tZ_sdZ_s + \int_0^tZ_s^2X_s^2ds$$ which shows $$E Z_t^2 = 1 + \int_0^t E(Z_s^2X_s^2)ds$$ where I was hoping to apply a Gronwall inequality to get a bound on $E Z_t^2.$ It seems we are unable to do this unless we know $X_s$ is bounded and can apply an $L_1, L_\infty$ bound.

Does anyone have any reference or knowledge on moment bounds of this exponential martingale in terms of moment bounds of $X_s?$