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First observe that the claim is not even true if m = n, for then the condition that the sum of the first m terms be equal to the sum of the first n terms is certainly satisfied for any A.P., but it is generally not the case that sum of the first m+n = 2n terms is zero.
Suppose then that m ≠ n.
Let a be the first term and let d be the common difference.
The sum of the first m terms is: ma + m(m-1)d/2
The sum of the first n terms is: na + n(n-1)d/2
That these are equal
=> ma + m(m-1)d/2 = na + n(n-1)d/2
=> (m-n)a + [ m(m-1) - n(n-1) ] d/2 = 0
=> (m-n)a + [ m²-n² -m +n ] d/2 = 0
=> (m-n)a + [ (m-n)(m+n) - (m-n) ] d/2 = 0
=> (m-n) [ a + (m+n-1)d/2 ] = 0
=> a + (m+n-1)d/2 = 0 [ can divide by m-n since m ≠ n ]
=> (m+n)a + (m+n)(m+n-1)d/2 = 0
=> sum of first m+n terms is zero.