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="">
