C'est un problème de trous et d'îlots.
Une approche. SQL Fiddle
WITH T1
AS (SELECT *,
ROW_NUMBER()
OVER (
PARTITION BY NAME
ORDER BY DATE) - ROW_NUMBER()
OVER (
PARTITION BY NAME, [PAY]
ORDER BY DATE) AS Grp
FROM Table1),
T2
AS (SELECT *,
MIN(DATE)
OVER (
PARTITION BY NAME, Grp) AS MinDate
FROM T1)
SELECT [NAME],
[PAY],
[DATE],
DENSE_RANK()
OVER (
PARTITION BY NAME
ORDER BY MinDate) AS CHANGEGROUP
FROM T2
ORDER BY NAME,
MinDate