Prove the claim of given equation

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Reference no: EM131449149

Question: First exit time: continuation. Prove the claim of given Example: show that τ[a,b] is a Markov time for the Brownian motion.
There are two slightly different concepts of a signed measure, depending on whether one allows it to take infinite values (see, e.g., Wikipedia).
Example: (First exit time). The first exit time from an interval is a Markov time for the Brownian motion. It is defined for a < 0="">< b="">

Reference no: EM131449149

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