(JTA) — A St. Louis prosecutor said she’d investigate allegations that Missouri Gov. Eric Greitens threatened to blackmail a woman with whom he was having an affair.

Circuit Attorney Kimberly Gardner  announced the probe Thursday, one day after Greitens admitted to having an extramarital affair but denied that he blackmailed the woman to keep it under wraps.

Greitens, a former Navy SEAL whose seven military awards include the Bronze Star, became the first Jewish governor of Missouri when he was elected in November 2016.

The affair, which happened in March 2015, before Greitens became governor, was first reported by St. Louis TV station KMOV.

The ex-husband of the woman with whom Greitens had the affair provided a secretly recorded tape of her confession to him, which included details of their first encounter. The woman, who met Greitens when she cut his hair, said that Greitens took a photo of her in a compromising position to use if she ever came forward about the affair.

The couple began divorce proceedings in March of 2016. By the November election, the man took to social media, to call Greitens a “homewrecker,” according to KMOV.

“The serious allegations against” Greitens “are very troubling,” said Gardner, the prosecutor, in a statement. “After further consideration, I have decided to launch a formal investigation into the alleged actions of Governor Greitens.”

The accuser’s ex-husband said he came forward because he has been contacted numerous times by law enforcement authorities and the media and he wanted to get out in front of a story that he knew would become public.

Greitens and his wife, Sheena, issued a statement on Wednesday night, calling the affair a “deeply personal mistake” by Greitens that the couple dealt with “honestly and privately.”

Greitens said the blackmail claims were “outrageous” and “false” in a statement.