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Emanuresu, you had the change in energy for the exhaust cloud correct. Sorry to have misread your question. The exhaust cloud gains mass, linear momentum, and kinetic energy because the rocket transfers each of these quantities to the exhaust. Because the rocket's velocity is increasing, the rate at which the exhaust cloud gains linear momentum and kinetic energy increases.What's going on here is simple: The exhaust cloud by itself does not form an isolated system. The conservation laws don't pertain to the exhaust gas by itself. They do apply to the rocket+exhaust gas system, but only if one assumes no other forces act on the rocket+exhaust gas. That's why I put the rocket in deep space, far removed from any massive bodies. When applying any of the conservation laws one has to take care in defining the system boundaries.