In exchange rate model explanation,
"...If under the domestic risk neutral measure $Q_d$, the process $X(t)$ satisfies
$\displaystyle \frac{dX(t)}{X(t)}=\sigma dZ_d(t)$
Since $Z_d(t)$ is $Q_d$-Brownian motion, so $X(t)$ is a $Q_d$-martingale."
How does this last line work? I cannot see what theorem has been applied