I would like to type
how do I do it?
Thanks!
Provided you've loaded the amsmath and amsfonts packages, you can write something like
\[
\left.
\frac{\mathrm{d}\mathbb{P}^{\beta}}
{\mathrm{d}\mathbb{P}}
\right|_{\mathcal{F}_t}
\]

\left and \right allows you to using grouping-like symbols and resize them to match the height of the material bracketed. In this case, you only have | which is not paired with anything else. So we use \left. to fill in for the missing grouping symbol.
Regarding \[...\], this is for displayed math expressions. It is currently preferred over $$...$$ as it handles various spacing issues better, among other things.