Notation for working with multiple probability measures

Question

Say I have a random variable $X$, and two probability measures $\mathbb P$ and $\mathbb Q$. The standard notation for the pdf of $X$ is just $f_X(x)$. Does there exist any notation, or could anyone suggest some notation, for distinguishing between the pdf of $X$ under $\mathbb P$ and $\mathbb Q$ respectively?

Answer 1

Note that the $f$ in $f_X(x)$ carries no information other than saying: "This is a pdf with respect to Lebesgue measure on ${\mathbb R}$." Therefore you could say:

Let $f_X$ and $g_X$ be the pdfs of $X$ with respect to the probability measures $P$ and $Q$.