How to deal with the confliction between PHP-Markdown and MathJax?

I use PHP-Markdown plugin in WordPress. In order to show the formula beautifully, I add some code to use MathJax.

Like this:

script type="text/javascript" src="http://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS-MML_HTMLorMML"/script
script type="text/x-mathjax-config"
MathJax.Hub.Config({
    extensions: ["tex2jax.js"],
    jax: ["input/TeX", "output/HTML-CSS"],
    tex2jax: {
    inlineMath: [ ['$','$'], ["\\(","\\)"] ],
    displayMath: [ ['$$','$$'], ["\\[","\\]"] ],
    processEscapes: true
    },
    "HTML-CSS": { availableFonts: ["TeX"] }
});
/script

But something wrong happens. Once my formula contains at least two underlines, the MathJax doesn't work. Such as $$P_1, P_2$$, and the words between the two underlines will be transformed to italic.

The formula will be transformed by PHP-Markdown first, and it can't be transformed by MathJax again.

Could you help me?