(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 Jan. 11, 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 the woman’s claim 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.”

Greitens and his wife, Sheena, issued a statement on 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.