First exit time: continuation). Prove the claim of Example 2.9: show that t[a,b] is a Markov time...

First exit time: continuation). Prove the claim of Example 2.9: 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 2.9

(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="">

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