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I cannot comment on answer of Gordon, hence comment here. He assumes that: \begin{align*} \mathbb{I}_{\{\tau_{1} >T\}} + \mathbb{I}_{\{\tau_{1} \le T\}} &= 1\\ \mathbb{I}_{\{\tau_{2} >T\}} + \mathbb{I}_{\{\tau_{2} \le T\}} &= 1 \end{align*} However, these are normalized not to 1 but to \begin{align*} \mathbb{I}_{\{\tau_{1} >T\}} + \mathbb{I}...


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