Discounted boundary-hitting representation ($u(x)={\mathbb{E}}_x[e^{-\lambda \tau }g(X_{\tau });\tau <\infty ]$)

For a continuous Itô diffusion with diffusion generator $\mathcal{L}$, let $u$ solve $\mathcal{L}u=\lambda u$ with $\lambda >0$, be bounded on an open domain and its boundary, and equal $g$ on the boundary. Stop at the first boundary hit $\tau$. The Itô formula makes $e^{-\lambda (t\wedge \tau )}u(X_{t\wedge \tau })$ a bounded martingale. Its limit is zero on $\{\tau =\infty \}$ and equals $e^{-\lambda \tau }g(X_{\tau })$ on $\{\tau <\infty \}$. ThusBoundedness justifies passage to the terminal expectation even if hitting is not almost surely finite.