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Assume that W t is a Brownian motion under real world probability measure P. There exists a return process X t which satisfies X t

Assume that W_t is a Brownian motion under real world probability measure P. There exists a return process X_t which satisfies X_t=W_t+mt, where m0 and the time interval of the process is [0, T]. Suppose Q is the risk neutral measure and r is risk free interest rate.

(1) At time T, what is dQ/dP?

(2) What is the relationship between the Brownian motion under Q and the Brownian motion under P?

(3) There exists a new measure H. Under H, X_t is a martingale. What is dH/dP?

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