Result that changes of equivalent probability measure transform Brownian motion by an added drift, leaving its 'Brownian-ness' under the new measure. If dW_t^mathbbP is Brownian under mathbbP and the Radon-Nikodým density is left.dfracdmathbbQdmathbbPright|_mathcalF_t = exp!left(-int_0^t θ_s,dW_s^mathbbP - tfrac12int_0^t θ_s^2,dsright) (Doléans exponential), then dW_t^mathbbQ = dW_t^mathbbP + θ_t,dt is Brownian under mathbbQ. The engine of risk-neutral pricing: choosing θ = (μ - r)/σ kills the drift of discounted GBM and produces mathbbQ.