Before revision:  As already pointed out by Karatzas \& Shreve \mbox{%DIFAUXCMD KS0pt%DIFAUXCMD (see also Jarrow \& Protter \mbox{%DIFAUXCMD JP }0pt%DIFAUXCMD )}  }  this allows for arbitrages in the market.
After revision:  As already pointed out by Karatzas \& Shreve \mbox{%DIFAUXCMD KS0pt%DIFAUXCMD (see also Jarrow \& Protter \mbox{%DIFAUXCMD JP }0pt%DIFAUXCMD )} } (in the Brownian motion case), this allows for arbitrages in the market.