Electricity Prices: Change of measure in practice

I'm working on a model of electricity prices. I have empirical data $X(t)$ and managed to find a reasonable fit given by a Levy process $\hat{X}(t)$. I understand in theory what a risk-neutral probability $\mathbb{Q}$ is, but I struggle to implement it in practice.
For example, one of the requirements for my model is to that the process is a Levy process with mean zero under the real-world probability measure $\mathbb{P}$. Does it mean that $\mathbb{E}_{\mathbb{P}}[X]=0$ and $\mathbb{E}_{\mathbb{Q}}[X]=c$, where $c$ is a constant? I'd be grateful for hints how to work with different measures in practice.