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# Self-averaging of Wigner transforms in random media

## 1 Introduction

### 1.1 The Wigner transform of mixtures of states

The Wigner transform is a useful tool in the analysis of the semi-classical limits of non-dissipative evolution equations as well as in the high frequency wave propagation . It is defined as follows: given a family of functions $`f_\epsilon (t,𝐱)`$ uniformly bounded in $`L^{\mathrm{}}([0,T];L^2(^d))`$ its Wigner transform is

$$\stackrel{~}{W}_\epsilon (t,𝐱,𝐤)=e^{i𝐤𝐲}f_\epsilon (t,𝐱\frac{\epsilon 𝐲}{2})f_\epsilon ^{}(t,𝐱+\frac{\epsilon 𝐲}{2})\frac{d𝐲}{(2\pi )^d}.$$
(1.1)
The family $`\stackrel{~}{W}_\epsilon `$ is uniformly bounded in the space of Schwartz distributions $`𝒮^{}(^d\times ^d)`$, and all its limit points are non-negative measures of bounded total mass . It is customary to interpret a limit Wigner measure $`W`$ as the energy density in the phase space, since the limit points of $`n_\epsilon =|f_\epsilon |^2`$ are of the form $`n(t,𝐱)=W(t,𝐱,𝐤)𝑑𝐤`$ provided that the family $`f_\epsilon `$ is $`\epsilon `$-oscillatory and compact at infinity . However, while neither $`n_\epsilon `$ nor its limit $`n(t,𝐱)`$ satisfy a closed equation, both $`\stackrel{~}{W}_\epsilon `$ and $`W`$ usually obey an evolution equation when the family $`f_\epsilon (t,𝐱)`$ arises from a time-dependent PDE. This makes the Wigner transform a useful tool in the study of semiclassical and high frequency limits, especially in random media . However, a priori bounds on the Wigner transform $`\stackrel{~}{W}_\epsilon `$ other than those mentioned above are usually difficult to obtain. It has been observed in  that the Wigner transform of a mixture of states

$$W_\epsilon (𝐱,𝐤)=e^{i𝐤𝐲}f_\epsilon (𝐱\frac{\epsilon 𝐲}{2};\zeta )f_\epsilon ^{}(𝐱+\frac{\epsilon 𝐲}{2};\zeta )\frac{d𝐲d\mu (\zeta )}{(2\pi )^d},$$

enjoys better regularity properties. The family $`f_\epsilon `$ above depends on an additional “state” parameter $`\zeta S`$, where $`S`$ is a state space equipped with a non-negative bounded measure $`d\mu (\zeta )`$. Typically this corresponds to introducing random initial data for $`f_\epsilon `$ at $`t=0`$ and estimating the expectation of $`\stackrel{~}{W}_\epsilon `$ with respect to this randomness. This improved regularity has been used, for instance, in  in the analysis of the average of the Wigner transform of mixtures of states in random media and in  in order to obtain an asymptotic expansion for the Wigner transform of a mixture of states.

The purpose of this paper is to analyze the self-averaging properties of moments of the mixed Wigner transform of the form $`W_\epsilon (t,𝐱,𝐤)S(𝐤)𝑑𝐤`$, where $`S(𝐤)`$ is a test function, and the family $`f_\epsilon (t,𝐱;\zeta )`$ satisfies the acoustic equations. This problem arises naturally in the mathematical study of the experiments in time-reversal of acoustic waves that we will describe in detail below. However, apart from the time-reversal application, the statistical stability of such moments provides an important key to understanding the physical applicability of the limit equations for the Wigner transform in random media in the situations when results for each realization are more relevant than the statistically averaged quantities.

We start with the wave equation in dimension $`d3`$

$$\frac{1}{c^2(𝐱)}\frac{^2\varphi }{t^2}\mathrm{\Delta }\varphi =0$$
(1.2)
and assume that the wave speed has the form $`c(𝐱)=c_0+\sqrt{\delta }c_1(𝐱)`$. Here $`c_0>0`$ is the constant sound speed of the uniform background medium, while the small parameter $`\delta 1`$ measures the strength of the mean zero random perturbation $`c_1`$. Rescaling the spatial and temporal variables $`𝐱=𝐱^{}/\delta `$ and $`t=t^{}/\delta `$ we obtain (after dropping the primes) equation (1.2) with rapidly fluctuating wave speed

$$c_\delta (𝐱)=c_0+\sqrt{\delta }c_1\left(\frac{𝐱}{\delta }\right).$$
(1.3)
It is convenient to re-write (1.2) as the system of acoustic equations for the “pressure” $`p={\displaystyle \frac{1}{c}}\varphi _t`$ and “acoustic velocity” $`𝐮=\varphi `$:

$`{\displaystyle \frac{𝐮}{t}}+\left(c_\delta (𝐱)p\right)=0`$ (1.4)
$`{\displaystyle \frac{p}{t}}+c_\delta (𝐱)𝐮=0.`$
The energy density for (1.4) is $`E(t,𝐱)=|𝐮|^2+p^2`$: $`E(t,𝐱)𝑑𝐱=\text{const}`$ is independent of time. We will denote for brevity $`𝐯=(𝐮,p)^{d+1}`$ and write (1.4) in the more general form of a first order linear symmetric hyperbolic system

$$\frac{𝐯_\epsilon ^\delta }{t}+A_\delta (𝐱)D^j\frac{}{x^j}\left(A_\delta (𝐱)𝐯_\epsilon ^\delta (𝐱)\right)=0.$$
(1.5)
In the present case, the symmetric matrices $`A_\delta `$ and $`D^j`$ are defined by

$$A_\delta (𝐱)=\text{diag}(1,1,1,c_\delta (𝐱)),\text{ and }D^j=𝐞_j𝐞_{d+1}+𝐞_{d+1}𝐞_j,j=1,\mathrm{},d.$$
(1.6)
Notice that the matrices $`D^j`$ are independent of $`𝐱`$. Here $`𝐞_m^{d+1}`$ is the standard orthonormal basis: $`(𝐞_m)_k=\delta _{mk}`$. The dispersion matrix for (1.5) is

$$P_0^\delta (𝐱,𝐤)=iA_\delta (𝐱)k_jD^jA_\delta (𝐱)=ic_\delta (𝐱)k_jD^j=ic_\delta (𝐱)\left[\stackrel{~}{𝐤}𝐞_{d+1}+𝐞_{d+1}\stackrel{~}{𝐤}\right],\stackrel{~}{𝐤}=\underset{j=1}{\overset{d}{}}k_j𝐞_j.$$
(1.7)
The self-adjoint matrix $`(iP_0^\delta )`$ has an eigenvalue $`\lambda _0=0`$ of multiplicity $`d1`$, and two simple eigenvalues $`\lambda _\pm ^\delta (𝐱,𝐤)=\pm c_\delta (𝐱)|𝐤|`$. The corresponding eigenvectors are

$$𝐛_m^0=(𝐤_m^{},0),m=1,\mathrm{},d1;𝐛_\pm =\frac{1}{\sqrt{2}}\left(\frac{\stackrel{~}{𝐤}}{|𝐤|}\pm 𝐞_{d+1}\right),$$
(1.8)
where $`𝐤_m^{}^d`$ is the orthonormal basis of vectors orthogonal to $`𝐤`$.

We assume that the initial data $`𝐯_0(𝐱;\zeta )=𝐯_\epsilon ^\delta (0,𝐱;\zeta )=(\epsilon \varphi _0^\epsilon ,1/c_\delta \dot{\varphi }_0^\epsilon )`$ for (1.5) is an $`\epsilon `$-oscillatory and compact at infinity family of functions uniformly bounded in $`L^2(^d)`$  for each “realization” $`\zeta `$ of the initial data. The scale $`\epsilon `$ of oscillations is much smaller than the correlation length $`\delta `$ of the medium: $`\epsilon \delta 1`$. The $`(d+1)\times (d+1)`$ Wigner matrix of a mixture of solutions of (1.5) is defined by

$$W_\epsilon ^\delta (t,𝐱,𝐤)=\underset{^d\times S}{}e^{i𝐤𝐲}𝐯_\epsilon ^\delta (t,𝐱\frac{\epsilon 𝐲}{2};\zeta )𝐯_\epsilon ^\delta (t,𝐱+\frac{\epsilon 𝐲}{2};\zeta )\frac{d𝐲d\mu (\zeta )}{(2\pi )^d}.$$

The non-negative measure $`d\mu `$ has bounded total mass: $`_S𝑑\mu (\zeta )<\mathrm{}`$. It is well-known  that for each fixed $`\delta >0`$ (and even without introduction of a mixture of states) one may pass to the limit $`\epsilon 0`$ and show that $`W_\epsilon ^\delta `$ converges weakly in $`𝒮^{}(^d\times ^d)`$ to

$$\overline{W}^\delta (t,𝐱,𝐤)=u_+^\delta (t,𝐱,𝐤)𝐛_+(𝐤)𝐛_+(𝐤)+u_{}^\delta (t,𝐱,𝐤)𝐛_{}(𝐤)𝐛_{}(𝐤).$$

The scalar amplitudes $`u_\pm ^\delta `$ satisfy the Liouville equations:

$`{\displaystyle \frac{u_\pm ^\delta }{t}}+_𝐤\lambda _\pm ^\delta _𝐱u_\pm ^\delta _𝐱\lambda _\pm ^\delta _𝐤u_\pm ^\delta =0.`$ (1.9)
Furthermore, one may formally pass to the limit $`\delta 0`$ in (1.9) and show that (see ) $`𝔼\left\{u_\pm ^\delta \right\}`$ converge to the solution of

$$\frac{\overline{u}_\pm }{t}\pm c_0\widehat{𝐤}_𝐱\overline{u}_\pm =\frac{}{k_m}\left[|𝐤|^2D_{mn}(\widehat{𝐤})\frac{\overline{u}_\pm }{k_n}\right].$$
(1.10)
Here $`\widehat{𝐤}=𝐤/|𝐤|`$, and the diffusion matrix $`D`$ is given by

$$D_{mn}=\frac{1}{2}_{\mathrm{}}^{\mathrm{}}\frac{^2R(c_0s\widehat{𝐤})}{x_nx_m}𝑑s,$$
(1.11)
where $`R(𝐱)`$ is the correlation function of $`c_1`$: $`𝔼\left\{c_1(𝐲)c_1(𝐱+𝐲)\right\}=R(𝐱)`$.

The purpose of this paper is to make the passage to the limit $`\epsilon ,\delta 0`$ rigorous for a mixture of states (and eliminate the consecutive limits $`\epsilon 0`$ then $`\delta 0`$) and establish the self-averaging properties of moments of the form $`s_\epsilon ^\delta (t,𝐱)=W_\epsilon ^\delta (t,𝐱,𝐤)S(𝐤)𝑑𝐤`$, where $`SL^2(^d)`$ is a given test function.

The assumption that $`\epsilon \delta `$ is formalized as follows. We let $`𝒦_\mu =\{(\epsilon ,\delta ):\delta |\mathrm{ln}\epsilon |^{2/3+\mu }\}`$, with $`0<\mu <2/3`$ and assume that $`(\epsilon ,\delta )𝒦_\mu `$ for some $`\mu (0,2/3)`$. From now on, $`\mu `$ is a given fixed number in $`(0,2/3)`$.

### 1.2 The random medium

We make the following assumptions on the random field $`c_1(𝐱)`$. Let $`(\mathrm{\Omega },𝒞,)`$ be a certain probability space, and let $`𝔼`$ denote the expectation with respect to $``$ and $`_p`$ denote the respective $`L^p`$ norm for any $`p[1,+\mathrm{}]`$. We suppose further that $`c_1:^d\times \mathrm{\Omega }`$ is a measurable, strictly stationary, mean-zero random field, that is pathwise $`C^4`$-smooth and satisfies

$$D_i:=\underset{\omega \mathrm{\Omega }}{\text{ess-sup}}|_𝐱^ic_1(𝐱;\omega )|<+\mathrm{},i=0,1,\mathrm{},4.$$
(1.12)
We assume in addition that $`c_1`$ is exponentially $`\varphi `$-mixing. More precisely, for any $`R>0`$ we let $`𝒞_R^i:=\sigma \{c_1(𝐱):|𝐱|R\}`$ and $`𝒞_R^e:=\sigma \{c_1(𝐱):|𝐱|R\}`$. We also define

$$\varphi (\rho ):=sup[|(B)(B|A)|:R>0,A𝒞_R^i,B𝒞_{R+\rho }^e],$$

for all $`\rho >0`$. We suppose that there exists a constant $`C_1>0`$ such that

$$\varphi (\rho )2\text{e}^{C_1\rho },\rho >0.$$
(1.13)
We let also

$$R(𝐲)=𝔼[c_1(𝐲)c_1(\mathrm{𝟎})],𝐲^d$$

be the covariance function of the field $`c_1()`$ and note that (1.13) implies that there exists a constant $`C_2>0`$ such that

$$|_𝐲^mR(𝐲)|C_2\text{e}^{|𝐲|/C_2},𝐲^d,m=0,\mathrm{},4.$$
(1.14)
Finally we assume that $`RC^{\mathrm{}}(^d)`$, this condition will be used only to establish the hypoellipticity of (1.10). Notice that sufficiently regular random fields with finite correlation length satisfy the hypotheses of this section. The exponential $`\varphi `$-mixing assumption was used in  to analyze the solutions of Liouville equations with random coefficients. Their techniques lay at the core of our proof of the mixing properties presented in our main result, Theorem 1.1, below.

### 1.3 The main result

We assume that the initial Wigner transform $`W_\epsilon ^\delta (0,𝐱,𝐤)`$ is uniformly bounded in $`L^2(^d\times ^d)`$ and

$`W_\epsilon ^\delta (0,𝐱,𝐤)W_0(𝐱,𝐤)`$ strongly in $`L^2(^d\times ^d)`$ as $`𝒦_\mu (\epsilon ,\delta )0`$. (1.15)
We also assume that the limit $`W_0C_c(^d\times ^d)`$ with a support that satisfies

$$\text{supp}W_0(𝐱,𝐤)X=\{(𝐱,𝐤):|𝐱|C,C^1|𝐤|C\}.$$
(1.16)
Note that (1.15) may not hold for a pure state since $`\stackrel{~}{W}_\epsilon _2=(2\pi \epsilon )^{d/2}f_\epsilon _2^2`$ . We will later present examples where it does hold for a mixture of states. Furthermore, we assume that $`W_0`$ has the form

$$W_0(𝐱,𝐤)=u_+^0𝐛_+𝐛_++u_{}^0𝐛_{}𝐛_{}$$
(1.17)
and let

$$\overline{W}(t,𝐱,𝐤)=\overline{u}_+(t,𝐱,𝐤)𝐛_+(𝐤)𝐛_+(𝐤)+\overline{u}_{}(t,𝐱,𝐤)𝐛_{}(𝐤)𝐛_{}(𝐤).$$
(1.18)
The functions $`\overline{u}_\pm `$ satisfy the Fokker-Planck equation (1.10) with initial data $`u_\pm ^0`$ as in (1.17). The main result of this paper is the following theorem.

###### Theorem 1.1

Let us assume that the random field $`c_1(𝐱)`$ satisfies the assumptions given in Section 1.2 and that the initial data $`W_\epsilon ^\delta (0,𝐱,𝐤)`$ satisfies (1.15) and (1.16). Let $`S(𝐤)L^2(^d)`$ be a test function, and define the moments

$$s_\epsilon ^\delta (t,𝐱)=W_\epsilon ^\delta (t,𝐱,𝐤)S(𝐤)𝑑𝐤\text{ and }\overline{s}(t,𝐱)=\overline{W}(t,𝐱,𝐤)S(𝐤)𝑑𝐤,$$

where $`\overline{W}`$ is given by (1.18). Then for each $`t>0`$ we have

$$𝔼\left\{|s_\epsilon ^\delta (t,𝐱)\overline{s}(t,𝐱)|^2𝑑𝐱\right\}0$$
(1.19)
as $`𝒦_\mu (\epsilon ,\delta )0`$.

Theorem 1.1 means that the moments $`s_\epsilon ^\delta `$ converges to a deterministic limit. The main application of Theorem 1.1 we have in mind is the mathematical modeling of refocusing in the time-reversal experiments we present in Section 2.

Our results may be generalized in a fairly straightforward manner to other wave equations that may be written in the form (1.5), which include acoustic equations with variable density and compressibility, electromagnetic and elastic equations .

The papers is organized as follows. The mathematical framework of the time-reversal experiment as well as the main result concerning the self-averaging properties of the time reversed signal, Theorem 2.1, are presented in Section 2. Section 3 contains the derivation of the Liouville equations in the $`L^2`$-framework. Some straightforward but tedious calculations from this Section are presented in Appendices A, B and C. The limit theorem for the two-point motion along the characteristics of the Liouville equations, Theorem 4.4, is presented in Section 4. Theorem 1.1 follows from this result. The proof of Theorem 4.4 is contained in Section 5.

Acknowledgment. The authors thank the organizers of the Mathematical Geophysics Summer School at Stanford, where part of this work was completed, for their hospitality. This work was supported in part by ONR grant N00014-02-1-0089. GB was supported in part by NSF Grants DMS-0072008 and DMS-0233549, TK was partially supported by grant Nr. 2 PO3A 031 23 from the State Committee for Scientific Research of Poland, and LR in part by NSF Grants DMS-9971742 and DMS-0203537, and by an Alfred P. Sloan Fellowship.

## 2 Refocusing in the time-reversal experiments

### 2.1 Mathematical formulation of the time-reversal experiments

Refocusing of time-reversed acoustic waves is a remarkable mathematical property of wave propagation in complex media that has been discovered and intensively studied by experimentalists in the last decade (see  and also  for further references to the physical literature). A typical experiment may be described schematically as follows. A point source emits a localized signal. The signal is recorded in time by an array of receivers. It is then reemitted into the medium reversed in time so that the part of the signal recorded last is reemitted first and vice versa. There are two striking experimental observations. First the repropagated signal tightly refocuses at the location of the original source when the medium is sufficiently heterogeneous even with a recording array of small size. This is to be compared with the extremely poor refocusing that would occur if the heterogeneous medium were replaced by a homogeneous medium. Second, the repropagated signal is self-averaging. This means that the refocused signal is essentially independent of the realization of a random medium with given statistics, assuming that we model the heterogeneous medium as a random medium.

The first mathematical study of a time-reversal experiment has been performed in  in the framework of one-dimensional layered random media. The one-dimensional case has been further studied in , and a three-dimensional layered medium was considered in . The time-reversal experiments in an ergodic domain have been analyzed mathematically in . The basic ideas that explain the role of randomness in the refocusing beyond the one-dimensional case were first outlined in  in the parabolic approximation of the wave equation, that was further analyzed in . Time-reversal in the general framework of multidimensional wave equations in random media has been studied formally in . One of the purposes of this paper is to present the rigorous proof of some of the results announced in .

The re-transmission scheme introduced in  is as follows. Consider the system of acoustic equations (1.4) (or, equivalently, (1.5) for the pressure $`p`$ and the acoustic velocity $`𝐮(t,𝐱)`$). The initial data for (1.5) is assumed to be localized in space:

$$𝐯_\epsilon (0,𝐱)=𝐒_0\left(\frac{𝐱𝐱_0}{\epsilon }\right)=(\varphi _0\left(\frac{𝐱𝐱_0}{\epsilon }\right),\frac{1}{c_\delta }\dot{\varphi }_0\left(\frac{𝐱𝐱_0}{\epsilon }\right)).$$
(2.1)
Here $`𝐱_0^d`$ is the location of the original source, and $`𝐒_0𝒮(^d)`$ is the source shape function. The small parameter $`\epsilon 1`$ measures the spatial localization of the source. The signal $`𝐯_\epsilon ^\delta (t,T)`$ is recorded at some time $`t=T`$, processed at the recording array and re-emitted into the medium. The new signal $`\stackrel{~}{𝐯}_\epsilon ^\delta `$ is the solution of (1.5) on the time interval $`Tt2T`$ with the Cauchy data

$$\stackrel{~}{𝐯}_\epsilon ^\delta (T,𝐱)=\mathrm{\Gamma }[f_\epsilon [\chi 𝐯_\epsilon ^\delta (T)](𝐱)\chi (𝐱).$$
(2.2)
The initial data (2.2) reflects the process of recording of the signal at the array and its smoothing by the recording process. The kernel $`f_\epsilon (𝐱)=\epsilon ^df(𝐱/\epsilon )`$ represents the smoothing. The array function $`\chi (𝐱)`$ is either the characteristic function of the set of the receivers, or some non-uniform function supported on this set. We will assume for simplicity that $`f(|𝐲|)`$ is radially symmetric, and, moreover,

$$\chi C_c(^d),\widehat{f}C_c(^d),\text{supp}\widehat{f}(𝐤)\left\{0<C^1|𝐤|C<\mathrm{}\right\}$$
(2.3)
where

$$\widehat{f}(𝐤)=e^{i𝐤𝐲}f(𝐲)𝑑𝐲$$

is the Fourier transform of $`f`$. The matrix $`\mathrm{\Gamma }`$ corresponds to the linear transformation of the signal. The pure time-reversal corresponds to keeping pressure unchanged but reversing the acoustic velocity so that $`\mathrm{\Gamma }=\mathrm{\Gamma }_0:=\text{diag}(1,1,1,1)`$. However, this is only one possible transformation, and while we restrict $`\mathrm{\Gamma }`$ to the above choice our results may be extended to more general matrices $`\mathrm{\Gamma }`$, or even allow $`\mathrm{\Gamma }`$ be a pseudo-differential operator of the form $`\mathrm{\Gamma }(𝐱,\epsilon D)`$.

The re-propagated field near the source at time $`t=2T`$ is defined as a function of the local coordinate $`𝝃`$ and of the source location $`𝐱_0`$:

$$𝐯_\epsilon ^{\delta ,B}(𝝃;𝐱_0)=\stackrel{~}{𝐯}_\epsilon ^\delta (2T,𝐱_0+\epsilon 𝝃).$$

### 2.2 The re-propagated signal and the Wigner transform

Let us assume that the random field $`c_1`$ satisfies the assumptions of Theorem 1.1 outlined in Section 1.2. Then Theorem 1.1 implies the following result.

###### Theorem 2.1

Under the assumptions made above the re-propagated field $`𝐯_\epsilon ^{\delta ,B}(𝛏,𝐱_0)`$ converges as $`𝒦_\mu (\epsilon ,\delta )0`$

$$𝐯^B(𝝃,𝐱_0)=e^{i𝐤𝝃}[u_+(T,𝐱_0,𝐤)\widehat{S}_0(𝐤),𝐛_{}(𝐤)𝐛_+(𝐤)+u_{}(T,𝐱_0,𝐤)\widehat{S}_0(𝐤),𝐛_+(𝐤)𝐛_{}(𝐤)]\frac{d𝐤}{(2\pi )^d}$$

in the sense that

$$\underset{𝝃^d}{sup}𝔼\left\{|𝐯_\epsilon ^{\delta ,B}(𝝃,𝐱_0)𝐯^B(𝝃,𝐱_0)|^2𝑑𝐱_0\right\}0.$$
(2.4)
The functions $`u_\pm (t,𝐱,𝐤)`$ are the solutions of the Fokker-Planck equation (1.10) with initial data $`a_\pm (0,𝐱,𝐤)=|\chi (𝐱)|^2\widehat{f}(𝐤)`$.

The proof of Theorem 2.1 is based on Theorem 1.1 and a representation of the re-propagated signal in terms of the Wigner transform of a mixture of solutions of the acoustic wave equations. The latter arises as follows. Let $`𝐐_\epsilon ^\delta (t,𝐱;𝐪)`$ be the matrix-valued solution of (1.5) with initial data

$$𝐐_\epsilon ^\delta (0,𝐱;𝐪)=\chi (𝐱)e^{i𝐪𝐱/\epsilon }I,$$
(2.5)
where $`I`$ is the $`(d+1)\times (d+1)`$ identity matrix, $`\chi (𝐱)`$ is the array function, and $`𝐪^d`$ is a fixed vector. It plays the role of the ”state” of the initial data. Physically $`𝐐_\epsilon ^\delta `$ describes evolution of a wave that is emitted by the recorders-transducers with a wave vector $`𝐪`$. The Wigner transform of the family $`𝐐_\epsilon ^\delta (t,𝐱;𝐪)`$ is

$$\stackrel{~}{W}_\epsilon ^\delta (t,𝐱,𝐤;𝐪)=e^{i𝐤𝐲}𝐐_\epsilon ^\delta (t,𝐱\frac{\epsilon 𝐲}{2};𝐪)𝐐_\epsilon ^\delta (t,𝐱+\frac{\epsilon 𝐲}{2};𝐪)\frac{d𝐲}{(2\pi )^d}.$$
(2.6)
The corresponding “mixed” Wigner transform is

$$W_\epsilon ^\delta (t,𝐱,𝐤)=\stackrel{~}{W}_\epsilon ^\delta (t,𝐱,𝐤;𝐪)\widehat{f}(𝐪)𝑑𝐪.$$
(2.7)
Then the re-propagated signal is described as follows in terms of $`W_\epsilon ^\delta `$.

###### Lemma 2.2

The re-propagated signal may be expressed as

$$𝐯_\epsilon ^{\delta ,B}(𝝃,𝐱_0)=e^{i𝐤(𝝃𝐲)}W_\epsilon ^\delta (T,𝐱_0+\frac{\epsilon (𝝃+𝐲)}{2},𝐤)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐤d𝐲}{(2\pi )^d}.$$
(2.8)
Proof. Let $`G(t,𝐱;𝐲)`$ be the Green’s matrix of (1.5), that is, solution of (1.5) with the initial data $`G(0,𝐱;𝐲)=I\delta (𝐱𝐲)`$. Then the signal arriving to the recorders-transducers array is

$$𝐯_\epsilon ^\delta (T,𝐱)=G(T,𝐱;𝐲)𝐯_\epsilon ^\delta (0,𝐲)𝑑𝐲=G(T,𝐱;𝐲)𝐒_0\left(\frac{𝐲𝐱_0}{\epsilon }\right)𝑑𝐲$$

and the re-emitted signal is

$$\stackrel{~}{𝐯}_\epsilon ^\delta (T,𝐳)=\mathrm{\Gamma }_0f_\epsilon (𝐳𝐳^{})\chi (𝐳)\chi (𝐳^{})𝐯_\epsilon ^\delta (T,𝐳^{})𝑑𝐳^{}.$$

Therefore we obtain

$`𝐯_\epsilon ^{\delta ,B}(𝝃,𝐱_0)={\displaystyle G(T,𝐱_0+\epsilon 𝝃;𝐳)\stackrel{~}{𝐯}_\epsilon (T,𝐳)𝑑𝐳}`$ (2.9)
$`={\displaystyle G(T,𝐱_0+\epsilon 𝝃;𝐳)\mathrm{\Gamma }_0f\left(\frac{𝐳𝐳^{}}{\epsilon }\right)\chi (𝐳)\chi (𝐳^{})G(T,𝐳^{};𝐲)𝐒_0\left(\frac{𝐲𝐱_0}{\epsilon }\right)\frac{d𝐳d𝐳^{}d𝐲}{\epsilon ^d}}.`$
However, we also have

$$\mathrm{\Gamma }_0G(t,𝐱;𝐲)\mathrm{\Gamma }_0=G^{}(t,𝐲;𝐱).$$
(2.10)
This is seen as follows: a solution of (1.5) satisfies

$$𝐯(t,𝐱)=G(ts,𝐱;𝐲)𝐯(s,𝐲)𝑑𝐲$$

for all $`0st`$. Differentiating the above equation with respect to $`s`$, using (1.5) for $`𝐯(s,𝐲)`$ and integrating by parts we obtain

$$0=\left(\frac{G(ts,𝐱;𝐲)}{t}+\frac{}{y_j}\left(G(ts,𝐱;𝐲)A_\delta (𝐲)\right)D^jA_\delta (𝐲)\right)𝐯(s,𝐲).$$

Passing to the limit $`s0`$ and using the fact that the initial data $`𝐯_0(𝐲)`$ is arbitrary we obtain

$$\frac{G(t,𝐲;𝐱)}{t}\frac{}{x_j}\left(G(t,𝐲;𝐱)A_\delta (𝐱)\right)D^jA_\delta (𝐱)=0.$$
(2.11)
Furthermore, the matrix $`G^{}(t,𝐱;𝐲)`$ satisfies

$$\frac{G^{}(t,𝐱;𝐲)}{t}+\frac{}{x_j}\left(G^{}(t,𝐱;𝐲)A_\delta (𝐱)\right)D^jA_\delta (𝐱)=0.$$

Multiplying (2.11) by $`\mathrm{\Gamma }_0`$ on the left and on the right, and using the commutation relations

$$\mathrm{\Gamma }_0A_\delta =A_\delta \mathrm{\Gamma }_0,\mathrm{\Gamma }_0D^j=D^j\mathrm{\Gamma }_0.$$
(2.12)
we deduce (2.10). Then, since $`\mathrm{\Gamma }_0^2=I`$, (2.9) may be re-written as

$`𝐯_\epsilon ^{\delta ,B}(𝝃,𝐱_0)={\displaystyle G(T,𝐱_0+\epsilon 𝝃;𝐳)\chi (𝐳)e^{i𝐪𝐳/\epsilon }\chi (𝐳^{})e^{i𝐪𝐳^{}/\epsilon }G^{}(T,𝐱_0+\epsilon 𝐲;𝐳^{})\mathrm{\Gamma }_0\widehat{f}(𝐪)𝐒_0(𝐲)\frac{d𝐳d𝐳^{}d𝐲d𝐪}{(2\pi )^d}}`$
$`={\displaystyle 𝐐_\epsilon ^\delta (T,𝐱_0+\epsilon 𝝃;𝐪)𝐐_\epsilon ^\delta (T,𝐱_0+\epsilon 𝐲;𝐪)\widehat{f}(𝐪)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐲d𝐪}{(2\pi )^d}}.`$ (2.13)
and (2.8) follows.

The following lemma allows us to drop the term of order $`\epsilon `$ in the argument of $`W_\epsilon `$ in (2.8).

###### Lemma 2.3

Let us define $`\stackrel{~}{𝐯}_\epsilon ^{\delta ,B}(𝛏;𝐱_0)={\displaystyle e^{i𝐤(𝛏𝐲)}W_\epsilon ^\delta (T,𝐱_0,𝐤)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐤d𝐲}{(2\pi )^d}}.`$ There exists a deterministic function $`C(\epsilon ,\delta )`$ so that

$$\underset{𝝃}{sup}𝐯_\epsilon ^{\delta ,B}\stackrel{~}{𝐯}_\epsilon ^{\delta ,B}_{L_{𝐱_0}^2}C(\epsilon ,\delta )$$
(2.14)
and $`C(\epsilon ,\delta )0`$ as $`𝒦_\mu (\epsilon ,\delta )0`$.

The proof of Lemma 2.3 is presented in Appendix A. Note that Theorem 1.1 may be applied directly to the moment

$$\stackrel{~}{𝐯}_\epsilon ^\delta (𝝃;𝐱_0)=e^{i𝐤𝝃}W_\epsilon ^\delta (T,𝐱_0,𝐤)\mathrm{\Gamma }_0\widehat{𝐒}_0(𝐤)\frac{d𝐤}{(2\pi )^d}$$

and the conclusion of Theorem 2.1 follows.

## 3 The high frequency analysis

In this section we study the deterministic high-frequency behavior of the Wigner transform and estimate the error between the Wigner transform and the solution of the Liouville equations. It is well known  that in the high frequency regime the weak limit of the Wigner transform as $`\epsilon 0`$ and $`\delta >0`$ is fixed, is described by the classical Liouville equations in the phase space. Here, we do not pass to the limit $`\epsilon 0`$ at $`\delta `$ fixed but rather control the error introduced by the semi-classical approximation. As explained in the introduction, this is possible because we are dealing with the Wigner transform of a mixture of states that may have strong limits  rather than the Wigner transform of pure states, which converges only weakly.

### 3.1 Convergence on the initial data

We first show that the assumptions on the convergence of the initial data in Theorem 1.1 are purely academic, and in particular are satisfied in the time-reversal application. We note that the $`L^2`$-norm of a pure Wigner transform $`\stackrel{~}{W}_\epsilon (t,𝐱,𝐤;𝐪)`$ of a single wave function, such as (2.6), blows up as $`\epsilon 0`$ in $`L^2(^d)`$, because

$`\stackrel{~}{W}_\epsilon (t;\zeta )_{L^2(^d\times ^d)}:={\displaystyle \text{Tr}[\stackrel{~}{W}_\epsilon (t,𝐱,𝐤;\zeta )\stackrel{~}{W}_\epsilon ^{}(t,𝐱,𝐤;\zeta )]𝑑𝐱𝑑𝐤}=(2\pi \epsilon )^{d/2}Q^\epsilon (t,𝐪)_{L^2(^d)}^2`$
$`=(2\pi \epsilon )^{d/2}\chi _{L^2(^d)}.`$ (3.1)
Therefore (1.15) may not hold for a pure state. Two examples when assumption (1.15) holds are given by the following lemma, which may be verified by a straightforward calculation. The first one arises when the initial data is random, and the second comes from the time-reversal application.

###### Lemma 3.1

Assumption (1.15) is satisfied in the following two cases:
(1) Statistical averaging: the initial data is $`𝐯_0^\epsilon (𝐱;\zeta )=\psi (𝐱)V(𝐱/\epsilon ;\zeta )`$, where $`V(𝐲;\zeta )`$ is a mean zero, scalar spatially homogeneous random process with a rapidly decaying two-point correlation function $`R(𝐳)`$: $`E\left\{V(𝐲)V(𝐲+𝐳)\right\}=V(𝐲;\zeta )V(𝐲+𝐳;\zeta )𝑑\mu (\zeta )=R(𝐳)L^2(^d)`$, and $`\psi (𝐱)C_c(^d)`$. The limit Wigner distribution is given by $`W_0(𝐱,𝐤)=|\psi (𝐱)|^2\stackrel{~}{R}(𝐤)`$, where $`\stackrel{~}{R}(𝐤)`$ is the inverse Fourier transform of $`R(𝐲)`$.
(2) Smoothing of oscillations: the initial data is $`𝐯_0^\epsilon (𝐱;\zeta )=\psi (𝐱)e^{i\zeta 𝐱/\epsilon }`$, where $`\psi (𝐱)C_c(^d)`$. The measure $`\mu `$ is $`d\mu (\zeta )=g(\zeta )d\zeta `$, $`\zeta ^d`$, and $`gL^2(^d)`$. The limit Wigner distribution is $`W_0(𝐱,𝐤)=|\psi (𝐱)|^2g(𝐤)`$.

Proof. We only verify case (2), the other case being similar:

$$W_\epsilon ^0(𝐱,𝐤)=e^{i𝐤𝐲}\psi (𝐱\frac{\epsilon 𝐲}{2})\psi ^{}(𝐱+\frac{\epsilon 𝐲}{2})\widehat{g}(𝐲)\frac{d𝐲}{(2\pi )^d}$$

so that

$$W_\epsilon ^0W_0_2^2=\left(\psi (𝐱\frac{\epsilon 𝐲}{2})\psi ^{}(𝐱+\frac{\epsilon 𝐲}{2})|\psi (𝐱)|^2\right)^2|\widehat{g}(𝐲)|^2\frac{d𝐱d𝐲}{(2\pi )^d}=I_\epsilon (𝐲)|\widehat{g}(𝐲)|^2\frac{d𝐲}{(2\pi )^d}.$$
(3.2)
However, we have $`|I_\epsilon (𝐲)|4\psi _{L^4}^4`$ and

$$I_\epsilon (𝐲)=\left(\psi (𝐱\frac{\epsilon 𝐲}{2})\psi ^{}(𝐱+\frac{\epsilon 𝐲}{2})|\psi (𝐱)|^2\right)^2𝑑𝐱0$$

as $`\epsilon 0`$ since $`\psi C_c(^d)`$, pointwise in $`𝐲`$. Therefore $`W_\epsilon ^0W_0_20`$ by the Lebesgue dominated convergence theorem.

Note that if $`g(\zeta )`$ and $`\psi `$ in part (2) of Lemma 3.1 are sufficiently regular, then $`W_0^\epsilon W_0_2=O(\epsilon )`$ so that one may get the order of convergence in (1.15).

### 3.2 Approximation by the Liouville equations

We now estimate directly the error between the mixed Wigner transform and its semi-classical approximation. The dispersion matrix $`P_0^\delta (𝐱,𝐤)=ic_\delta (𝐱)k_jD^j`$ may be diagonalized as

$$iP_0^\delta (𝐱,𝐤)=\underset{q=0}{\overset{2}{}}\lambda _q^\delta (𝐱,𝐤)\mathrm{\Pi }_q(𝐤),\underset{q=0}{\overset{2}{}}\mathrm{\Pi }_q(𝐤)=I.$$
(3.3)
Here $`\mathrm{\Pi }_q`$ is the projection matrix onto the eigenspace corresponding to the eigenvalue $`\lambda _q^\delta `$. Notice that the eigenspaces are independent of the spatial position $`𝐱`$, hence of the parameter $`\delta `$; see (1.7)-(1.8).

As we have mentioned before, for a fixed $`\delta >0`$ the Wigner transform $`W_\epsilon ^\delta (t,𝐱,𝐤)`$ converges weakly as $`\epsilon 0`$ to its semi-classical limit $`U^\delta (t,𝐱,𝐤)`$ given by

$$U^\delta (t,𝐱,𝐤)=\underset{q}{}u_q^\delta (t,𝐱,𝐤)\mathrm{\Pi }_q(𝐤).$$
(3.4)
The functions $`u_q^\delta `$ satisfy the Liouville equations

$$\frac{u_q^\delta }{t}+_𝐤\lambda _q^\delta _𝐱u_q^\delta _𝐱\lambda _q^\delta _𝐤u_q^\delta =0$$
(3.5)
with initial data $`u_q^\delta (0,𝐱,𝐤)=\text{Tr}\mathrm{\Pi }_qW_0(𝐱,𝐤)\mathrm{\Pi }_q`$. Our goal is to estimate the difference between $`W_\epsilon ^\delta `$ and $`U^\delta `$ in $`L^2(^d\times ^d)`$. Let us denote by $`\gamma _q^\delta (𝐱,𝐤)`$ the largest eigenvalue of the matrix $`(F_q^\delta F_q^\delta )^{1/2}`$, where

$$F_q^\delta =\left(\begin{array}{cc}\frac{^2\lambda _q^\delta }{k_ix_j}& \frac{^2\lambda _q^\delta }{k_ik_j}\\ \frac{^2\lambda _q^\delta }{x_ix_j}& \frac{^2\lambda _q^\delta }{x_ik_j}\end{array}\right).$$

Note that (1.12) implies that $`\gamma _1^\delta (𝐱,𝐤)=\gamma _2^\delta (𝐱,𝐤)=\gamma ^\delta (𝐱,𝐤)`$, while $`\gamma _0=0`$. The initial data $`u_q^0`$ is supported on a compact set $`S`$ because $`W_0`$ is (see (1.16)). Then the set

$$𝒮=\underset{t0,\delta (0,1]}{}\text{supp}u_q^\delta (t,𝐱,𝐤)$$

is bounded because the speed $`c_\delta (𝐱)`$ is uniformly bounded from above and below for $`\delta `$ sufficiently small (1.12). Therefore we have $`\gamma ^\delta (𝐱,𝐤)C/\delta ^{3/2}`$ with a deterministic constant $`C>0`$. We denote $`\overline{\gamma }_\delta =sup_𝒮\gamma ^\delta (𝐱,𝐤).`$ We have the following approximation theorem.

###### Theorem 3.2

Let the acoustic speed $`c_\delta (𝐱)`$ be of the form (1.3) and satisfy assumptions (1.12). We assume that the Wigner transform $`W_\epsilon ^\delta `$ satisfies (1.15) and that (1.16) holds. Moreover, we assume that the initial limit Wigner transform $`W_0`$ is of the form

$$W_0(𝐱,𝐤)=\underset{q}{}u_q^0(𝐱,𝐤)\mathrm{\Pi }_q(𝐤).$$
(3.6)
Let $`U^\delta (t,𝐱,𝐤)=_pu_p^\delta (t,𝐱,𝐤)\mathrm{\Pi }_p(𝐤)`$, where the functions $`u_p^\delta `$ satisfy the Liouville equations (3.5) with initial data $`u_q^0(𝐱,𝐤)`$. Then we have

$$W_\epsilon ^\delta (t,𝐱,𝐤)U^\delta (t,𝐱,𝐤)_2C(\delta )[\epsilon W_0_{H^2}e^{2\overline{\gamma }_\delta t}+\epsilon ^2W_0_{H^3}e^{3\overline{\gamma }_\delta t}]+W_\epsilon ^\delta (0)W_0_2,$$
(3.7)
where $`C(\delta )`$ is a rational function of $`\delta `$ with deterministic coefficients that may depend on the constant $`C>0`$ in the bound (1.16) on the support of $`W_0`$.

Theorem 3.2 shows that the semi-classical approximation is valid for times $`T|\mathrm{ln}\epsilon |/\overline{\gamma }_\delta `$. This is reminiscent of the Ehrenfest time of validity of the semi-classical approximation in quantum mechanics, see  for recent mathematical results in this direction for the Schrödinger operators. The pre-factor constants on the right side of (3.7) are not optimal but sufficient for the purposes of our analysis.

The assumption that initially $`W_0`$ has no terms of the form $`\mathrm{\Pi }_p\mathrm{\Pi }_q`$ with $`pq`$ is necessary in general for the Liouville equation to provide an approximation to $`W_\epsilon ^\delta `$ in the strong sense. This may be seen on the simple example of the solution

$$u_\epsilon (t,x)=ae^{i(𝐪𝐱ct)/\epsilon }+be^{i(𝐪𝐱+ct)/\epsilon }$$

of the wave equation

$$u_{tt}c^2u_{xx}=0$$

with a constant speed $`c`$. The cross-terms in the Wigner distribution $`W_\epsilon =[|a|^2+|b|^2+ab^{}e^{2ict/\epsilon }+a^{}be^{2ict/\epsilon }]\delta (𝐤𝐪)`$ vanish only in the weak sense as a function of $`t`$ but not strongly.

The Wigner distribution that arises in the time-reversal application has an initial data that is described by part (2) of Lemma 3.1:

$$W_0(𝐱,𝐤)=|\chi (𝐱)|^2\widehat{f}(𝐤)I$$

and satisfies the assumption (3.6) with $`u_q^0(𝐱,𝐤)=|\chi (𝐱)|^2\widehat{f}(𝐤)`$ for all eigenspaces because of the second equation in (3.3). The error introduced by the replacement of the initial data in (3.7) in that case is given by (3.2) and is $`O(\epsilon )`$ provided that $`\chi `$ and $`f`$ are sufficiently regular.

The proof of Theorem 3.2 is quite straightforward though tedious. We first obtain the evolution equation for $`W_\epsilon ^\delta `$ in Section 3.3, and show that it preserves the $`L^2`$-norm. This allows us to replace the initial data in the equation for $`W_\epsilon ^\delta `$ by $`W_0`$ at the expense of the last term in (3.7). We obtain the Liouville equations (3.5) in Section 3.4 and estimate the right side of (3.7) in terms of the $`H^3`$-norm of its solution. Finally, in Appendix C we obtain the necessary estimates for the solution of the Liouville equation.

### 3.3 The evolution equation for the Wigner transform

The $`L^2`$-norm of the Wigner transform $`\stackrel{~}{W}(t,𝐱,𝐤;\zeta )`$ of a pure state, or a fixed $`\zeta `$, is preserved in time as follows from the preservation of the $`L^2`$-norm of solutions of (1.5). We obtain now an evolution equation for the Wigner transform $`W_\epsilon `$ of mixed states and show that its $`L^2`$-norm is also preserved. It is convenient to define the skew-symmetric matrix symbol

$$P_\epsilon ^\delta (𝐱,𝐤)=P_0^\delta (𝐱,𝐤)+\epsilon P_1^\delta (𝐱),$$
(3.8)
where $`P_0^\delta `$ is defined by (1.7) and the symbol $`P_1^\delta `$ depends only on $`𝐱`$:

$$P_1^\delta (𝐱)=A_\delta (𝐱)D^j\frac{1}{2}\frac{A_\delta }{x_j}(𝐱)\frac{1}{2}\frac{A_\delta }{x_j}(𝐱)D^jA_\delta (𝐱)=\frac{1}{2}\frac{c_\delta }{x_j}(𝐱)\left[𝐞_j𝐞_{d+1}𝐞_{d+1}𝐞_j\right].$$
(3.9)
The latter equality follows from (1.6) and calculations of the form

$$D^j\frac{A_\delta }{x_j}(𝐱)=\frac{c_\delta }{x_j}(𝐱)𝐞_j𝐞_{d+1}.$$
(3.10)
The following lemma describes the evolution of the Wigner transform $`W_\epsilon ^\delta `$.

###### Lemma 3.3

The Wigner transform $`W_\epsilon ^\delta (t,𝐱,𝐤)`$ satisfies the evolution equation

$$\epsilon \frac{W_\epsilon ^\delta }{t}+_\epsilon ^\delta W_\epsilon ^\delta =0$$
(3.11)
with initial data $`W_\epsilon ^\delta (0,𝐱,𝐤)`$. The operator $`_\epsilon ^\delta `$ is given by

$$_\epsilon ^\delta f(𝐱,𝐤)=\left(P_\epsilon ^\delta (𝐲,𝐪)e^{i\varphi }f(𝐳,𝐩)f(𝐳,𝐩)e^{i\varphi }P_\epsilon ^\delta (𝐲,𝐪)\right)\frac{d𝐳d𝐩d𝐲d𝐪}{(\pi \epsilon )^{2d}},$$
(3.12)
where $`\varphi (𝐱,𝐳,𝐤,𝐩,𝐲,𝐪)=\frac{2}{\epsilon }((𝐩𝐤)𝐲+(𝐪𝐩)𝐱+(𝐤𝐪)𝐳)`$. The integral of the trace and the $`L^2`$-norm of the Wigner transform $`W_\epsilon `$ are preserved:

$$\mathrm{TrW}_\epsilon ^\delta (\mathrm{t},𝐱,𝐤)d𝐱d𝐤=\mathrm{TrW}_\epsilon ^\delta (0,𝐱,𝐤)d𝐱d𝐤$$
(3.13)
and

$$\mathrm{Tr}[\mathrm{W}_\epsilon ^\delta (\mathrm{t},𝐱,𝐤)\mathrm{W}_\epsilon ^\delta (\mathrm{t},𝐱,𝐤)]d𝐱d𝐤=\mathrm{Tr}[\mathrm{W}_\epsilon ^\delta (0,𝐱,𝐤)\mathrm{W}_\epsilon ^\delta (0,𝐱,𝐤)]d𝐱d𝐤.$$
(3.14)
This lemma is verified by a direct calculation that we present for the convenience of the reader in Appendix B.

Note that the solution of (3.11) with self-adjoint initial data remains self-adjoint and the $`L^2`$-norm is preserved. Therefore, we have the following corollary.

###### Corollary 3.4

Let $`W_0(𝐱,𝐤)`$ be a strong limit of $`W_\epsilon (0)`$ in $`L^2`$, which exists by assumption (1.15). Then the solutions $`W_\epsilon ^\delta (t,𝐱,𝐤)`$ and $`\overline{W}_\epsilon ^\delta (t,𝐱,𝐤)`$ of (3.11) with initial conditions $`W_\epsilon ^0(𝐱,𝐤)`$ and $`W_0(𝐱,𝐤)`$, respectively, satisfy

$$\overline{W}_\epsilon ^\delta (t)W_\epsilon ^\delta (t)_2=W_\epsilon ^0W_0_20\text{ as }\epsilon 0\text{.}$$

This shows that in the analysis of (3.11), we can replace strongly converging initial conditions by their limit, and consider then the limit of $`\overline{W}_\epsilon (t,𝐱,𝐤)`$ as $`\epsilon 0`$ with fixed initial conditions. This is done in the following section.

### 3.4 Derivation of the Liouville equations

We consider in this section the solution $`\overline{W}_\epsilon ^\delta (t,𝐱,𝐤)`$ of the evolution equation (3.11) with fixed initial data $`W_0(𝐱,𝐤)`$ and show that it may be approximated by the solution of the Liouville equation. We split the operator $`_\epsilon ^\delta =_\epsilon ^{\delta ,0}+\epsilon _\epsilon ^{\delta ,1}`$, where

$$_\epsilon ^{\delta ,j}f(𝐱,𝐤)=\left(P_j^\delta (𝐲,𝐪)e^{i\varphi }f(𝐳,𝐩)f(𝐳,𝐩)e^{i\varphi }P_j^\delta (𝐲,𝐪)\right)\frac{d𝐳d𝐩d𝐲d𝐪}{(\pi \epsilon )^{2d}},j=0,1,$$

and the symbols $`P_j^\delta `$ are given by (1.7) and (3.9). The operator $`_\epsilon ^{\delta ,0}`$ is given explicitly by

$`_\epsilon ^{\delta ,0}f(𝐱,𝐤)={\displaystyle e^{i(𝐤𝐩)𝐲}\left[c_\delta (𝐱\frac{\epsilon 𝐲}{2})ip_jD^jf(𝐱,𝐩)c_\delta (𝐱+\frac{\epsilon 𝐲}{2})f(𝐱,𝐩)ip_jD^j\right]\frac{d𝐩d𝐲}{(2\pi )^d}}`$
$`+{\displaystyle \frac{\epsilon }{2}}{\displaystyle e^{i(𝐤𝐩)𝐲}\left(D^j\frac{}{x_j}\left[c_\delta (𝐱\frac{\epsilon 𝐲}{2})f(𝐱,𝐩)\right]+\frac{}{x_j}\left[c_\delta (𝐱+\frac{\epsilon 𝐲}{2})f(𝐱,𝐩)\right]D^j\right)\frac{d𝐩d𝐲}{(2\pi )^d}}=_{\epsilon ,\delta }^{01}+_{\epsilon ,\delta }^{02}.`$
We recast the operator $`_{\epsilon ,\delta }^{01}`$ as

$`_{\epsilon ,\delta }^{01}f(𝐱,𝐤)=c_\delta (𝐱)\left[ik_jD^jf(𝐱,𝐤)f(𝐱,𝐤)ik_jD^j\right]{\displaystyle \frac{\epsilon }{2}}{\displaystyle \frac{c_\delta (𝐱)}{x_m}}{\displaystyle \frac{}{k_m}}\left(k_jD^jf(𝐱,𝐤)+f(𝐱,𝐤)k_jD^j\right)`$
$`+\epsilon _{\epsilon ,\delta }^{01}f`$
with the correction term

$`_{\epsilon ,\delta }^{01}f(𝐱,𝐤)={\displaystyle \frac{1}{\epsilon }}{\displaystyle }e^{i(𝐤𝐩)𝐲}[(c_\delta (𝐱{\displaystyle \frac{\epsilon 𝐲}{2}})c_\delta (𝐱)+{\displaystyle \frac{\epsilon }{2}}𝐲c_\delta (𝐱))ip_jD^jf(𝐱,𝐩)`$
$`(c_\delta (𝐱+{\displaystyle \frac{\epsilon 𝐲}{2}})c_\delta (𝐱){\displaystyle \frac{\epsilon }{2}}𝐲c_\delta (𝐱))f(𝐱,𝐩)ip_jD^j]{\displaystyle \frac{d𝐩d𝐲}{(2\pi )^d}}.`$
Similarly, we have

$$_{\epsilon ,\delta }^{02}f(𝐱,𝐤)=\frac{\epsilon }{2}D^j\frac{}{x_j}\left(c_\delta (𝐱)f(𝐱,𝐤)\right)+\frac{\epsilon }{2}\frac{}{x_j}\left(c_\delta (𝐱)f(𝐱,𝐤)\right)D^j+\epsilon _{\epsilon ,\delta }^{02}f$$

with

$`_{\epsilon ,\delta }^{02}f(𝐱,𝐤)={\displaystyle \frac{1}{2}}{\displaystyle }e^{i(𝐤𝐩)𝐲}(D^j{\displaystyle \frac{}{x_j}}\left[\{c_\delta (𝐱{\displaystyle \frac{\epsilon 𝐲}{2}})c_\delta (𝐱)\}f(𝐱,𝐩)\right]`$
$`+{\displaystyle \frac{}{x_j}}\left[\{c_\delta (𝐱+{\displaystyle \frac{\epsilon 𝐲}{2}})c_\delta (𝐱)\}f(𝐱,𝐩)\right]D^j){\displaystyle \frac{d𝐩d𝐲}{(2\pi )^d}}.`$
The operator $`_\epsilon ^{\delta ,1}`$ is given explicitly by

$`_\epsilon ^{\delta ,1}f(𝐱,𝐤)={\displaystyle e^{i(𝐤𝐩)𝐲}\left[P_1^\delta (𝐱\frac{\epsilon 𝐲}{2})f(𝐱,𝐩)f(𝐱,𝐩)P_1^\delta (𝐱+\frac{\epsilon 𝐲}{2})\right]\frac{d𝐩d𝐲}{(2\pi )^d}}`$
$`=P_1^\delta (𝐱)f(𝐱,𝐤)f(𝐱,𝐤)P_1^\delta (𝐱)+_{\epsilon ,\delta }^1f(𝐱,𝐤)`$ (3.15)
with the correction $`_{\epsilon ,\delta }^1`$ defined by

$$_{\epsilon ,\delta }^1f(𝐱,𝐤)=e^{i(𝐤𝐩)𝐲}\left[\left(P_1^\delta (𝐱\frac{\epsilon 𝐲}{2})P_1^\delta (𝐱)\right)f(𝐱,𝐩)f(𝐱,𝐩)\left(P_1^\delta (𝐱+\frac{\epsilon 𝐲}{2})P_1^\delta (𝐱)\right)\right]\frac{d𝐩d𝐲}{(2\pi )^d}.$$
(3.16)
Putting together the above expressions, we obtain the following equation for $`\overline{W}_\epsilon ^\delta `$

$$\frac{\overline{W}_\epsilon ^\delta }{t}=\frac{1}{\epsilon }_\epsilon ^\delta \overline{W}_\epsilon ^\delta =\frac{[\overline{W}_\epsilon ^\delta ,P_0^\delta ]}{\epsilon }+[\overline{W}_\epsilon ^\delta ,P_1^\delta ]+\frac{1}{2i}(\{\overline{W}_\epsilon ^\delta ,P_0^\delta \}\{P_0^\delta ,\overline{W}_\epsilon ^\delta \})_\epsilon ^\delta \overline{W}_\epsilon ^\delta $$
(3.17)
with $`_\epsilon ^\delta =_{\epsilon ,\delta }^{01}+_{\epsilon ,\delta }^{02}+_{\epsilon ,\delta }^1`$. Here $`\{f,g\}`$ is the standard Poisson bracket

$$\{f,g\}=_𝐤f_𝐱g_𝐱f_𝐤g$$

and $`[A,B]=ABBA`$ is the commutator. We now introduce the expansion

$$\overline{W}_\epsilon ^\delta =U^\delta +\epsilon U_1^\delta +U_{2,\epsilon }^\delta .$$
(3.18)
We insert this ansatz into (3.17) and equating like powers of $`\epsilon `$ obtain at the order $`\epsilon ^1`$

$$[P_0^\delta ,U^\delta ]=0,$$
(3.19)
which is equivalent to

$$U^\delta =\underset{q=0}{\overset{2}{}}\mathrm{\Pi }_qU^\delta \mathrm{\Pi }_q=\underset{q=0}{\overset{2}{}}U_q^\delta ,$$
(3.20)
where $`U_q^\delta =\mathrm{\Pi }_qU^\delta \mathrm{\Pi }_q`$, and for $`q=1,2`$ one has $`U_q^\delta =u_q^\delta \mathrm{\Pi }_q`$ with $`u_q=\text{Tr}U_q^\delta `$. The matrices $`\mathrm{\Pi }_q`$ are projections on the eigenspaces of $`P_0^\delta `$, as in (3.3). This means that the matrix $`U^\delta `$ does not have off-diagonal contributions in the eigenbasis of $`P_0^\delta `$. The equation of order $`O(\epsilon ^0)`$ is given by

$$\frac{U^\delta }{t}=[U_1^\delta ,P_0^\delta ]+[U^\delta ,P_1^\delta ]+\frac{1}{2i}(\{U^\delta ,P_0^\delta \}\{P_0^\delta ,U^\delta \}).$$
(3.21)
Multiplying the above equation on both sides by $`\mathrm{\Pi }_q`$ yields

$$\frac{\mathrm{\Pi }_qU^\delta \mathrm{\Pi }_q}{t}=\mathrm{\Pi }_q[U^\delta ,P_1^\delta ]\mathrm{\Pi }_q+\frac{1}{2i}\mathrm{\Pi }_q\left(\{U^\epsilon ,P_0^\delta \}\{P_0^\delta ,U^\delta \}\right)\mathrm{\Pi }_q.$$
(3.22)
This is nothing but equation (6.16) of reference  for the Wigner matrix without consideration of mixtures of states. The only difference is that the leading order term $`P_0`$ depends on the parameter $`\delta `$. This, of course, does not change the algebra, and following  one obtains a system of decoupled Liouville equations for $`u_q^\delta =\text{Tr}U_q^\delta `$, $`q=1,2`$,

$$\frac{u_q^\delta }{t}+\{\lambda _q^\delta ,u_q^\delta \}=0$$
(3.23)
with initial data $`u_q^\delta (0,𝐱,𝐤)=\text{Tr}[\mathrm{\Pi }_q(𝐤)W_0(𝐱,𝐤)\mathrm{\Pi }_q(𝐤)]`$. The zero eigenvalue component of the matrix $`U^\delta `$, that is, $`U_0(t,𝐱,𝐤)=\mathrm{\Pi }_0(𝐤)W_0(𝐱,𝐤)\mathrm{\Pi }_0(𝐤)`$, does not change in time.

We have to show that the terms $`U_1^\delta `$ and $`U_{2,\epsilon }^\delta `$ in (3.18) are small. In order to uniquely characterize $`U_1^\delta `$, we assume that it is orthogonal to the terms of the form (3.20), that is,

$$U_1^\delta =\underset{pq}{}\mathrm{\Pi }_pU_1^\delta \mathrm{\Pi }_q.$$
(3.24)
Then, (3.20) and (3.21) imply that

$$\mathrm{\Pi }_mU_1^\delta \mathrm{\Pi }_p=\frac{1}{i(\lambda _m^\delta \lambda _p^\delta )}\mathrm{\Pi }_m(U^\delta )\mathrm{\Pi }_p,$$
(3.25)
where

$$(U^\delta )=[U^\delta ,P_1^\delta ]+\frac{1}{2i}(\{U^\delta ,P_0^\delta \}\{P_0^\delta ,U^\delta \}).$$

We now analyze the term $`U_{2,\epsilon }^\delta `$ in (3.18) and show that it vanishes in the limit $`\epsilon 0`$. The equation for the $`U_{2,\epsilon }^\delta `$ is

$$\frac{U_{2,\epsilon }^\delta }{t}=\frac{1}{\epsilon }_\epsilon ^\delta U_{2,\epsilon }^\delta +S_\epsilon ,$$
(3.26)
where

$$S_\epsilon =\epsilon \left([U_1^\delta ,P_1^\delta ]+\frac{1}{2i}(\{U_1^\delta ,P_0^\delta \}\{P_0^\delta ,U_1^\delta \})\right)\epsilon \frac{U_1^\delta }{t}_\epsilon ^\delta (U^\delta +\epsilon U_1^\delta ).$$
(3.27)
The initial condition for (3.26) is $`U_{2,\epsilon }^\delta (0,𝐱,𝐤)=\epsilon U_1^\delta (0,𝐱,𝐤)`$ because of (3.6), which implies that $`W_0(0,𝐱,𝐤)=U^\delta (0,𝐱,𝐤)`$. We now use the fact that $`_\epsilon ^\delta `$ is skew-symmetric to obtain the bound

$$U_{2,\epsilon }^\delta (t)_2\epsilon U_1^\delta (0)_2+_0^tS_\epsilon (s)_2𝑑s.$$
(3.28)
The analysis of the convergence of the difference of $`\overline{W}_\epsilon ^\delta `$ and $`U^\delta `$ to zero thus relies on estimating the error term $`S_\epsilon `$. The relevant bounds are provided by the following two lemmas. Here we denote $`f_{\dot{H}^s}=D^sf_{L^2}`$.

###### Lemma 3.5

There exists a constant $`C>0`$ that depends on the constant in the bound (1.16) on the support of $`W_0`$, and on the constants $`D_i`$ in (1.12) so that

$$S_\epsilon _2C\left[\frac{\epsilon }{\delta ^3}U^\delta _{H^2}+\frac{\epsilon ^2}{\delta ^{11/2}}U^\delta _{H^3}\right].$$
(3.29)
###### Lemma 3.6

The $`\dot{H}^s(^d\times ^d)`$-norm, $`s=1,2,3`$, of $`U^\delta (t)`$ is bounded by

$$u_q^\delta (t)_{\dot{H}^s}C_su_q^0_{\dot{H}^s}\mathrm{exp}(s\overline{\gamma }_\delta t).$$
(3.30)
Here $`u_q^0=\mathrm{Tr}[\mathrm{\Pi }_\mathrm{q}\mathrm{W}_0\mathrm{\Pi }_\mathrm{q}]`$, the initial data for the Liouville equation (3.23), the constant $`C_s`$ is a deterministic rational function of $`\delta `$.

Note that the prefactors of the type $`\delta ^m`$ in Lemma 3.5 are not as important as the terms $`U^\delta _{H^s}`$ since the latter grow exponentially in $`\overline{\gamma }_\delta \delta ^{3/2}`$ according to Lemma 3.6.

Proof of Lemma 3.5. Observe that thanks to (3.27), we have

$$S_\epsilon _2C\left[\frac{\epsilon }{\sqrt{\delta }}U_1^\delta _{H^1}+\epsilon \frac{U_1^\delta }{t}_2+_\epsilon ^\delta (U^\delta +\epsilon U_1^\delta )\right].$$
(3.31)
We have the following bound for $`U_1^\delta `$:

$$U_1^\delta _{H^s}\frac{C}{\delta ^{2s}}U^\delta _{H^{s+1}}$$
(3.32)
with a constant $`C>0`$ that depends only on the constant in the bound (1.16) on the support of $`W_0`$ and on the constants $`D_i`$ in (1.12). Indeed, expression (3.24) implies that $`U_1^\delta _{H^s}C\delta ^{\frac{1}{2}s}(U^\delta )_{H^s}`$, while we have $`(U^\delta )_{H^s}C\delta ^{s\frac{1}{2}}U^\delta _{H^{s+1}}`$ so that (3.32) follows. This bound is by no means optimal but will be sufficient for our purposes. Furthermore, we have

$$\frac{U_1^\delta }{t}_2C\left(\frac{U^\delta }{t}\right)_2\frac{C}{\delta ^3}U^\delta _{H^2}.$$
(3.33)
In order to complete the bound (3.29) for $`S_\epsilon `$ we show that

$$_\epsilon ^\delta f_2\frac{C\epsilon }{\delta ^{3/2}}\underset{j}{}[k_jf_{H^2}+f_{H^2}].$$
(3.34)
We only consider $`_{\epsilon ,\delta }^{01}`$ as the corresponding bounds for the operators $`_{\epsilon ,\delta }^{02}`$ and $`_{\epsilon ,\delta }^1`$ are obtained similarly. We split $`_{\epsilon ,\delta }^{01}`$ as $`_{\epsilon ,\delta }^{01}=I_{01}II_{01}`$. We have

$`I_{01}f={\displaystyle \frac{1}{\epsilon }}{\displaystyle e^{i(𝐤𝐩)𝐲}\left(c_\delta (𝐱\frac{\epsilon 𝐲}{2})c_\delta (𝐱)+\frac{\epsilon }{2}𝐲c_\delta (𝐱)\right)ip_jD^jf(𝐱,𝐩)\frac{d𝐩d𝐲}{(2\pi )^d}}`$
$`={\displaystyle \frac{1}{4\epsilon }}{\displaystyle _0^\epsilon }(\epsilon s){\displaystyle e^{i(𝐤𝐩)𝐲}y_ly_m\frac{^2c_\delta (𝐱{\displaystyle \frac{s𝐲}{2}})}{x_lx_m}ip_jD^jf(𝐱,𝐩)\frac{d𝐩d𝐲}{(2\pi )^d}𝑑s}={\displaystyle \frac{1}{4\epsilon }}{\displaystyle _0^\epsilon }(\epsilon s)\stackrel{~}{I}_{01}(s)f𝑑s.`$
Moreover, we obtain that

$`{\displaystyle |\stackrel{~}{I}_{01}(s)f(𝐱,𝐤)|^2𝑑𝐱𝑑𝐤}=\text{Tr}{\displaystyle e^{i(𝐤𝐩)𝐲i(𝐤𝐪)𝐳}y_ly_mz_l^{}z_m^{}\frac{^2c_\delta (𝐱{\displaystyle \frac{s𝐲}{2}})}{x_lx_m}\frac{^2c_\delta (𝐱{\displaystyle \frac{s𝐳}{2}})}{x_l^{}x_m^{}}}`$
$`\times p_jq_rD^jf(𝐱,𝐩)f^{}(𝐱,𝐪)D^r{\displaystyle \frac{d𝐩d𝐲d𝐪d𝐳d𝐱d𝐤}{(2\pi )^{2d}}}`$
$`=\text{Tr}{\displaystyle e^{i(𝐪𝐩)𝐲}y_ly_my_l^{}y_m^{}\frac{^2c_\delta (𝐱{\displaystyle \frac{s𝐲}{2}})}{x_lx_m}\frac{^2c_\delta (𝐱{\displaystyle \frac{s𝐲}{2}})}{x_l^{}x_m^{}}p_jq_rD^jf(𝐱,𝐩)f^{}(𝐱,𝐪)D^r\frac{d𝐩d𝐲d𝐪d𝐱}{(2\pi )^d}}`$
$`{\displaystyle \frac{C}{\delta ^3}}{\displaystyle \underset{j}{}}k_jf_{H^2}^2.`$
Therefore the Minkowski inequality implies that $`I_{01}f_2C\epsilon \delta ^{3/2}_jk_jf_{H^2}`$, and the same bound holds for $`II_{01}`$. The operators $`_\epsilon ^{02}`$ and $`_\epsilon ^1`$ may be bounded in a similar way as $`_\epsilon ^{02}f_{L^2}+_\epsilon ^1f_{L^2}C\epsilon \delta ^{3/2}f_{H^2}`$. Therefore we have the bound (3.34) and then (3.29) follows from (3.31)-(3.34).

Theorem 3.2 now follows from the bound (3.32) for $`U_1^\delta `$, the bound (3.28) for $`U_{2,\epsilon }^\delta `$, and Lemmas 3.6 and 3.5. It only remains to prove Lemma 3.6, which is done in Appendix C.

## 4 The Liouville equations in a random medium

We formulate in this section the main result concerning the convergence of the expectation of the solution of the Liouville equation (1.9) to the solution of the phase space diffusion equation (1.10) in the limit $`\delta 0`$. We also show that the values of the solution of the Liouville equation at different points in the phase space become independent in this limit. This allows us to establish the self-averaging property in Theorem 1.1.

### 4.1 Preliminaries

We let $`𝒞_m:=C([0,+\mathrm{});(^d)^m)`$, and for any $`R_1,\mathrm{},R_m>0`$ we denote by $`𝒞_m(R_1,\mathrm{},R_m):=C([0,+\mathrm{});S_{R_1}^{d1}\times \mathrm{}\times S_{R_m}^{d1})`$, where $`S_R^{d1}`$ is the sphere in $`^d`$ of radius $`R>0`$ centered at $`\mathrm{𝟎}`$. We also let $`\pi _t:𝒞_m(^d)^m`$, $`t>0`$, be the canonical mapping $`\pi _t(K)=(K_1(t),\mathrm{},K_m(t))`$, $`K=(K_1,\mathrm{},K_m)𝒞_m`$. For any $`uv`$ we denote by $`_m^{u,v}`$ be the $`\sigma `$-algebra of subsets of $`𝒞_m`$ generated by $`\pi _t`$, $`t[u,v]`$, and let $`_m:=_m^{0,+\mathrm{}}`$ and $`𝒯_m`$ be the filtered measurable space $`(𝒞_m,_m,\left(_m^{0,t}\right)_{t0})`$. For any set $`A(^d)`$ we denote $`𝒞(A):=\sigma \{c_1(𝐱):𝐱A\}`$.

We suppose further that $`c_1:^d\times \mathrm{\Omega }`$ is a scalar , measurable, strictly stationary, zero mean random field that satisfies assumptions presented in Section 1.2, that is, it satisfies the almost sure bounds (1.12), is exponentially $`\varphi `$-mixing (1.13), and has a $`C^{\mathrm{}}`$-correlation function $`R(𝐱)`$.

We define the differential operator

$$F(𝐤)=\underset{p,q=1}{\overset{d}{}}|𝐤|^2D_{p,q}(\widehat{𝐤})_{k_p,k_q}^2F(𝐤)+\underset{p=1}{\overset{d}{}}|𝐤|E_p(\widehat{𝐤})_{k_p}F(𝐤),FC_0^{\mathrm{}}(^d\{\mathrm{𝟎}\})$$
(4.1)
with the diffusion matrix $`D`$ given by (1.11) and the drift $`𝐄`$ defined by

$$E_p(\widehat{𝐤})=c_0\underset{q=1}{\overset{d}{}}\underset{0}{\overset{+\mathrm{}}{}}s_{x_p,x_q,x_q}^3R(c_0s\widehat{𝐤})ds,p=1,\mathrm{},d.$$

A simple calculation shows that $``$ is a generator of a diffusion on $`S_{k_0}^{d1}`$ given by Itô S.D.E.

$$\{\begin{array}{c}d𝒌(t)=|𝒌(t)|\left(𝐄(\widehat{𝒌}(t))dt+\sqrt{2}𝐃^{1/2}(\widehat{𝒌}(t))d𝐁(t)\right)\hfill \\ 𝒌(0)=𝐤_0\mathrm{𝟎}.\hfill \end{array}$$
(4.2)
Here $`𝐄=(E_1,\mathrm{},E_d)`$ and $`𝐁()`$ is a $`d`$-dimensional standard Brownian motion.

###### Remark 4.1

A simple calculation shows that the diffusion $`𝒌()`$ given by (4.2) is symmetric. Indeed the generator can be written in the form

$$F(𝐤)=\underset{p,q=1}{\overset{d}{}}_{k_p}\left(|𝐤|^2D_{p,q}(\widehat{𝐤})_{k_q}F(𝐤)\right),FC_0^{\mathrm{}}(^d\{\mathrm{𝟎}\}).$$

For any $`𝐤\mathrm{𝟎}`$ we denote by $`𝔔_𝐤`$ the law of such a diffusion starting at $`𝐤`$, which is supported in $`𝒞_1(k)`$, $`k=|𝐤|`$.

###### Remark 4.2

The matrix $`𝐃:=[D_{p,q}]`$ is degenerate since $`𝐃(\widehat{𝐤})𝐤=\mathrm{𝟎}`$ for all $`𝐤^d\{\mathrm{𝟎}\}`$. It can be shown however that under fairly general assumptions its rank equals $`d1`$.

###### Proposition 4.3

Suppose that $`\widehat{R}(\mathrm{𝟎})>0`$. Then, the rank of $`𝐃`$ equals $`d1`$.

Proof. Suppose that $`c_0=1`$ and let $`H_𝐤:=[𝐩^d:𝐩\widehat{𝐤}=0]`$ be the hyperplane orthogonal to $`𝐤`$. Then,

$`D_{ml}(\widehat{𝐤})={\displaystyle \frac{1}{2}}{\displaystyle _{\mathrm{}}^{\mathrm{}}}_{x_m,x_l}^2R(s\widehat{𝐤})ds={\displaystyle \frac{1}{2}}{\displaystyle _{\mathrm{}}^{\mathrm{}}}\left({\displaystyle _^d}e^{is\widehat{𝐤}𝐩}p_mp_l\widehat{R}(𝐩)𝑑𝐩\right)𝑑s`$
$`={\displaystyle \frac{1}{2^d\pi ^{d1}}}{\displaystyle _{H_𝐤}}p_mp_l\widehat{R}(𝐩)𝑑𝐩`$
and hence for any $`𝝃^d`$ we have

$$(𝐃(\widehat{𝐤})𝝃,𝝃)=D_{ml}(\widehat{𝐤})\xi _m\xi _l=\frac{1}{2^d\pi ^{d1}}_{H_𝐤}(𝐩𝝃)^2\widehat{R}(𝐩)𝑑𝐩.$$
(4.3)
Suppose that $`𝝃H_𝐤`$. Then, since $`\widehat{R}(𝐩)0`$ the left hand side of (4.3) is nonnegative. We claim that in fact $`(𝐃(\widehat{𝐤})𝝃,𝝃)>0`$. Indeed, if otherwise then, since $`\widehat{R}`$ is continuous, we would have $`\widehat{R}(𝐩)(𝐩𝝃)^2=0`$ for all $`𝐩H_𝐤`$, which is impossible due to the fact that $`\widehat{R}(\mathrm{𝟎})>0`$ and the set $`H_𝝃H_𝐤`$ has the linear dimension $`d2`$.

The above argument shows that $`𝐃(\widehat{𝐤})`$ is of rank $`d1`$ if there exists $`𝐩_0H_𝐤`$ such that $`\widehat{R}(𝐩_0)>0`$. On the other hand, if $`\widehat{R}(𝐩)=0`$ for all $`𝐩`$ in the plane $`H_𝐤`$ then $`𝐃(\widehat{𝐤})𝝃=0`$ for all $`𝝃^d`$. Therefore the matrix $`𝐃(\widehat{𝐤})`$ either has rank $`d1`$, or vanishes identically. Another condition ensuring the latter does not happen is the radial symmetry of $`R()`$.

### 4.2 Two particle model

We would like to show that solution $`u^\delta (t,𝐱,𝐤)`$ of (1.9) decorrelates in the limit $`\delta 0`$ at two different points, that is, that

$$𝔼\left\{u^\delta (t,𝐱_1,𝐤_1)u^\delta (t,𝐱_2,𝐤_2)\right\}𝔼\left\{u^\delta (t,𝐱_1,𝐤_1)\right\}𝔼\left\{u^\delta (t,𝐱_2,𝐤_2)\right\}0\text{as }\delta 0$$
(4.4)
provided that $`𝐤_1𝐤_2`$. Recall that $`u^\delta (t,𝐱,𝐤)`$ may be represented as

$$u_q^\delta (T,𝐱,𝐤)=u_q^0(𝐗^\delta (T,𝐱,𝐤),𝐊^\delta (T,𝐱,𝐤)),$$

where $`u_q^0`$ is the initial data for (1.9), and

$`{\displaystyle \frac{d𝐗^\delta (t)}{dt}}`$ $`=`$ $`{\displaystyle \frac{\lambda _q^\delta }{𝐤}}(𝐗^\delta (t),𝐊^\delta (t)),𝐗^\delta (0)=𝐱`$
$`{\displaystyle \frac{d𝐊^\delta (t)}{dt}}`$ $`=`$ $`{\displaystyle \frac{\lambda _q^\delta }{𝐱}}(𝐗^\delta (t),𝐊^\delta (t)),𝐊^\delta (0)=𝐤.`$ (4.5)
In order to establish (4.4) we have to consider motion of two particles that may start at the same physical point but are moving in different directions. The equations of motion for two particles are governed by the Hamiltonian system

$$\{\begin{array}{c}\frac{d𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m)}{dt}=_𝐤\lambda _q^\delta (𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m),𝒌_m^{(\delta )}(t;𝐱_m,𝐤_m))\hfill \\ \frac{d𝒌_m^{(\delta )}(t;𝐱_m,𝐤_m)}{dt}=_𝐱\lambda _q^\delta (𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m),𝒌_m^{(\delta )}(t;𝐱_m,𝐤_m))\hfill \\ 𝒙_m^{(\delta )}(0;𝐱_m,𝐤_m)=𝐱_m,𝒌_m^{(\delta )}(0;𝐱_m,𝐤_m)=𝐤_m,m=1,2.\hfill \end{array}$$
(4.6)
We will assume that $`𝐱_1=𝐱_2=\mathrm{𝟎}`$, and

$$𝐤_1\mathrm{𝟎},𝐤_2\mathrm{𝟎}\text{ and }\widehat{𝐤}_1\widehat{𝐤}_2.$$
(4.7)
The above system can be rewritten in the form

$$\{\begin{array}{c}\frac{d𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m)}{dt}=\left[c_0+\sqrt{\delta }c_1\left(\frac{𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m)}{\delta }\right)\right]\widehat{𝒌}_m^{(\delta )}(t;𝐱_m,𝐤_m)\hfill \\ \frac{d𝒌_m^{(\delta )}(t;𝐱_m,𝐤_m)}{dt}=\frac{1}{\sqrt{\delta }}_𝐱c_1\left(\frac{𝒙_m^{(\delta )}(t;𝐱_m,𝐤_m)}{\delta }\right)|𝒌_m^{(\delta )}(t;𝐱_m,𝐤_m)|\hfill \\ 𝒙_m^{(\delta )}(0;𝐱_m,𝐤_m)=\mathrm{𝟎},𝒌_m^{(\delta )}(0;𝐱_m,𝐤_m)=𝐤_m,m=1,2.\hfill \end{array}$$
(4.8)
The main result of this section is the following.

###### Theorem 4.4

Suppose that the random field $`c_1()`$ satisfies the assumptions in Section 1.2 and that $`d3`$. Then, the laws of processes $`(𝐤_1^{(\delta )}(),𝐱_1^{(\delta )}(),𝐤_2^{(\delta )}(),𝐱_2^{(\delta )}())`$ determined by $`(\text{4.6})`$, converge weakly in $`𝒞_4`$, as $`\delta 0`$, to the law of $`(𝐤_1(),𝐱_1(),𝐤_2(),𝐱_2())`$, where $`𝐤_j()`$, $`j=1,2`$ are independent symmetric diffusions given by $`(\text{4.2})`$ starting at $`𝐤_j`$, $`j=1,2`$ respectively and

$$𝒙_j(t)=c_0\underset{0}{\overset{t}{}}\widehat{𝒌}_j(s)𝑑s,j=1,2.$$

Theorem 1.1 is a simple corollary of Theorems 3.2 and 4.4.
Proof of Theorem 1.1. First we observe that

$`{\displaystyle }|{\displaystyle }(W_\epsilon ^\delta (t,𝐱,𝐤)U^\delta (t,𝐱,𝐤)S(𝐤)d𝐤|^2d𝐱S_{L^2}^2{\displaystyle }|W_\epsilon ^\delta (t,𝐱,𝐤)U^\delta (t,𝐱,𝐤)|^2d𝐤d𝐱0`$
as $`(\epsilon ,\delta )0`$ in $`𝒦_\mu `$ and this convergence is uniform in realizations of the random medium provided that the bounds (1.12) are satisfied. Therefore it suffices to study $`\stackrel{~}{s}^\delta (𝐱)=U^\delta (t,𝐱,𝐤)S(𝐤)𝑑𝐤`$. We observe that

$`𝔼\left\{{\displaystyle \stackrel{~}{s}^\delta (𝐱)\overline{s}(𝐱)^2𝑑𝐱}\right\}=𝔼\left\{{\displaystyle (U^\delta (t,𝐱,𝐤)\overline{W}(t,𝐱,𝐤))S(𝐤)𝑑𝐤^2𝑑𝐱}\right\}`$
$`=𝔼\left\{S^{}(𝐤)_1{\displaystyle (U^\delta (t,𝐱,𝐤_1)\overline{W}^{}(t,𝐱,𝐤_1))(U^\delta (t,𝐱,𝐤_2)\overline{W}(t,𝐱,𝐤_2))S(𝐤_2)𝑑𝐤_1𝑑𝐤_2𝑑𝐱}\right\}`$
with $`\overline{s}(𝐱)`$ and $`\overline{W}(t,𝐱,𝐤)`$ as in the formulation of Theorem 1.1. Theorem 4.4 implies that

$$𝔼\left\{U^\delta (t,𝐱,𝐤)\right\}\overline{W}(t,𝐱,𝐤),𝔼\left\{U^\delta (t,𝐱,𝐤_1)U^\delta (t,𝐱,𝐤_2)\right\}\overline{W}(t,𝐱,𝐤_1)\overline{W}(t,𝐱,𝐤_2)$$

pointwise in $`𝐱`$ and $`𝐤`$. Recall that the functions $`U^\delta (t,𝐱,𝐤)`$ and $`\overline{W}(t,𝐱,𝐤)`$ are uniformly compactly supported and bounded in $`L^{\mathrm{}}`$. Therefore the Lebesgue dominated convergence implies that

$$𝔼\left\{\stackrel{~}{s}^\delta (𝐱)\overline{s}(𝐱)^2𝑑𝐱\right\}0$$

and the proof of Theorem 1.1 is complete.

## 5 Proof of Theorem 4.4

Before we present the proof of this result we wish to spend a few words to lay out its main ideas. They are based in large part on the ideas of  where the phase space diffusion equation for the limit of the expectation of the solution of the Liouville equation with the Hamiltonian $`H^\delta (𝐱,𝐤)=k^2/2+\sqrt{\delta }V(𝐱/\delta )`$ has been obtained. The two-particle case introduces some additional difficulties into the problem. Our first step in the proof, in Section 5.1 below, is to replace the processes $`(𝒌_1^\delta (),𝒌_2^\delta ())`$ by $`(𝒍_1^\delta (),𝒍_2^\delta ())`$ that agree with $`(𝒌_1^\delta (),𝒌_2^\delta ())`$ up to certain stopping times. These times are determined by the stopping rules, introduced by multiplying the Hamiltonian $`\lambda ^\delta (𝐱,𝐤)`$ by several cut-off functions. Their role is to prevent the trajectory of each particle to self-intersect and also not to allow the particles to get too close to each other. We shall prove tightness of such modified processes by showing that for any bounded, positive and continuous function $`F`$ one can find a constant $`C>0`$ such that $`F(𝒍_1^\delta (t),𝒍_2^\delta (t))+Ct`$, $`t0`$ are sub-martingales (see e.g.  Theorem 1.4.6), cf (5.29). This fact will be established thanks to the decorrelation properties of the random field $`_𝐱c_1()`$. More precisely, the latter imply mixing lemmas contained in Section 5.2. The second ingredient of the proof is a perturbative argument that allows us to replace the trajectory $`𝒙_i^{(\delta )}()`$ (in fact its modification $`𝒚_i^{(\delta )}()`$ that arises from the replacement of $`𝒌^\delta `$ by $`𝒍^\delta `$) by a linear approximation over the time interval that is much longer than the correlation time (that we recall is of order $`O(\delta )`$) yet is sufficiently short so we can control the accuracy of the approximation, cf. Lemma 5.4. In order to ensure that the approximate motion (under linear approximation) is not transverse to the direction of the field at a given time, which could prevent us from using the decorrelation properties of the field, but is rather propelled forward, we have to introduce another stopping time rule, cf. the condition on the scalar product of wave number directions contained in (5.5).

Conducting the proof of tightness we also identify a certain martingale property of any limiting law of $`(𝒍_1^\delta (),𝒍_2^\delta ())`$, as $`\delta 0`$ that holds up to the aforementioned stopping time. By proving that this time goes to infinity with the removal of the cut-offs we are able to prove both the weak convergence of the laws of $`(𝒌_1^\delta (),𝒌_2^\delta ())`$ and identify a well-posed martingale problem associated with the limiting measure. This step is done in Section 5.4.

With no loss of generality we shall assume throughout this section that $`c_0=1`$.

### 5.1 The cut-off functions

Let $`p,q>0`$ and $`k0`$ be integers. Let $`M`$ be chosen in such a way that

$$M|𝐤_1||𝐤_2|\text{ and }|𝐤_1||𝐤_2|M^1.$$
(5.1)
Let $`\widehat{𝐤}_1\widehat{𝐤}_2`$ be such as in the statement of Theorem 4.4. Denote

$$𝐊_N:=\{(\widehat{𝐤},\widehat{𝐤}^{}):(\widehat{𝐤},\widehat{𝐤}_1)_^d1\frac{1}{N+1},(\widehat{𝐤}^{},\widehat{𝐤}_2)_^d1\frac{1}{N+1}\}$$
(5.2)
and choose $`N`$ a positive integer such that

$$\gamma _N:=inf\{|\widehat{𝐤}\widehat{𝐤}^{}|:(\widehat{𝐤},\widehat{𝐤}^{})𝐊_N\}>0,$$
(5.3)
that is, the cones of aperture $`1/(N+1)`$ centered at $`\widehat{𝐤}_1`$ and $`𝐤_2`$ are separated. As a consequence of (5.3) we may choose a positive integer $`q`$ so that

$$\lambda _N(p):=inf\left\{\right|\frac{1}{p}\widehat{𝐤}\rho \widehat{𝐤}^{}||\frac{1}{p}\widehat{𝐤}^{}\rho \widehat{𝐤}|:\rho [0,\frac{1}{p}],(\widehat{𝐤},\widehat{𝐤}^{})𝐊_N\}\frac{4}{q}.$$
(5.4)
We define now several auxiliary functions that will be used to introduce the cut-offs in the dynamics. The function $`\psi :^d\times (S_1^{d1})^2[0,1]`$ is $`C^{\mathrm{}}`$ and has the property that

$$\psi (𝐤,𝐥_1,𝐥_2)=\{\begin{array}{c}1,\text{ if }\widehat{𝐤}𝐥_11\frac{1}{N+1}\text{ and }\widehat{𝐤}𝐥_21\frac{1}{N+1}\hfill \\ \text{ and }M^1|𝐤|M\hfill \\ 0,\text{ if }\widehat{𝐤}𝐥_11\frac{2}{N+1}\text{ or }\widehat{𝐤}𝐥_21\frac{2}{N+1}\hfill \\ \text{ or }|𝐤|(2M)^1\text{ or }|𝐤|2M.\hfill \end{array}$$
(5.5)
The function $`\varphi _k:^d\times 𝒞_1[0,1]`$ is $`C^{\mathrm{}}`$ for a fixed path $`K(t)`$ and satisfies

$$\varphi _k(𝐲;K)=\{\begin{array}{cc}1,\hfill & \text{ if }\underset{0tt_{k1}^{(p)}}{inf}\left|𝐲\underset{0}{\overset{t}{}}K(s)𝑑s\right|\frac{2}{q}\hfill \\ 0,\hfill & \text{ if }\underset{0tt_{k1}^{(p)}}{inf}\left|𝐲\underset{0}{\overset{t}{}}K(s)𝑑s\right|\frac{1}{q}.\hfill \end{array}$$
(5.6)
Here $`t_k^{(p)}:=kp^1`$ and, by convention, $`K(s):=K(0)`$, $`s0`$. The function $`\xi _k:^d\times ^d\times 𝒞_2[0,1]`$ is smooth when the paths $`K_1(),K_2()𝒞_1`$ are fixed. We let

$$p_1:=2^q[8(1+D_0)]p$$
(5.7)
and $`s_k^{(p_1)}:=kp_1^1`$ be a sub-partition of $`t_k`$, and define

$$\xi _k(𝐲_1,𝐲_2;K_1(),K_2())=\{\begin{array}{cc}1,\hfill & \hfill \text{ if }\underset{0ts_k^{(p_1)}}{inf}\left|𝐲_1\underset{0}{\overset{t}{}}K_2(s)𝑑s\right|\frac{2}{q}\\ \text{ and }\hfill & \hfill \underset{0ts_k^{(p_1)}}{inf}\left|𝐲_2\underset{0}{\overset{t}{}}K_1(s)𝑑s\right|\frac{2}{q}\\ 0,\hfill & \hfill \text{ if }\underset{0ts_k^{(p_1)}}{inf}\left|𝐲_1\underset{0}{\overset{t}{}}K_2(s)𝑑s\right|\frac{1}{q}\\ \text{or}\hfill & \hfill \underset{0ts_k^{(p_1)}}{inf}\left|𝐲_2\underset{0}{\overset{t}{}}K_1(s)𝑑s\right|\frac{1}{q}.\end{array}$$
(5.8)
For $`j=1,2`$ we set

$$\mathrm{\Phi }_j(t,𝐲;K()):=\{\begin{array}{cc}1,\hfill & \text{ if }0t<t_1^{(p)}\hfill \\ \varphi _k(𝐲;K()),\hfill & \text{ if }t_k^{(p)}t<t_{k+1}^{(p)}.\hfill \end{array}$$
(5.9)
Each $`\mathrm{\Phi }_j()`$ shall be used to modify the dynamics of the corresponding particle in order to avoid a possibility of self-intersections of its trajectory. The cut-off function

$$\mathrm{\Psi }(t,𝐤;K()):=\{\begin{array}{cc}\psi (𝐤,\widehat{K}\left(t_{k1}^{(p)}\right),\widehat{K}\left(t_k^{(p)}\right))\hfill & \text{ for }t[t_k^{(p)},t_{k+1}^{(p)})\text{ and }k1\hfill \\ \psi (𝐤,\widehat{K}(0),\widehat{K}(0))\hfill & \text{ for }t[0,t_1^{(p)})\hfill \end{array}$$
(5.10)
will allow us to control the direction of the particle motion over each interval of the partition as well as not to allow the trajectory to escape to the regions where the change of velocity can be uncontrollable. The cut-off

$$\mathrm{\Xi }(t,𝐲_1,𝐲_2;K_1(),K_2())=\{\begin{array}{cc}1,\hfill & \text{ if }0t<t_1^{(p)}\hfill \\ \xi _k(𝐲_1,𝐲_2;K_1(),K_2()),\hfill & \text{ if }s_k^{(p_1)}t<s_{k+1}^{(p_1)}\text{ and }t_1^{(p)}s_k^{(p_1)}\hfill \end{array}$$
(5.11)
is introduced in order not to allow the two trajectories to come too close to each other. Note that this cut-off is ”switched on” only after time $`t=t_1^{(p)}`$ so as to allow the two particles to separate initially. After this time it is updated every $`1/p_1`$ time step, that is, more frequently that the cut-offs that control the self-intersections of each trajectory that are updated only at each $`1/p`$ time step.

The following lemma can be checked by a direct calculation. Both here and in what follows we denote by $`D_{,\beta }`$ the partial with respect to the $`\beta `$ component of the given vector variable.

###### Lemma 5.1

Let $`𝐦=(m_1,\mathrm{},m_d)`$ be a multi-index with nonnegative integer valued components, $`m=\underset{p=1}{\overset{d}{}}m_p`$. There exist constants $`C_3`$, $`C_4>0`$ depending only on $`M,N,p,q`$, $`m`$ such that

$$|D_𝐲^𝐦\mathrm{\Phi }_j(t,𝐲)|C_3,|D_{𝐲_j}^𝐦\mathrm{\Xi }(t,𝐲_1,𝐲_2)|C_4,j=1,2.$$

Let $`K=(K_1,K_2)𝒞_2`$ and denote

$$\mathrm{\Theta }_j(s,𝒚_1,𝒚_2,𝐥;K):=\mathrm{\Psi }(s,𝐥;K_j)\mathrm{\Phi }_j(s,𝒚_j;K_j)\mathrm{\Xi }(s,𝒚_1,𝒚_2;K),$$
(5.12)
$$\mathrm{\Lambda }_j(s,𝐲_1,𝐲_2,𝐲_1^{},𝐲_2^{},𝐥;K):=\mathrm{\Theta }_j(s,𝐲_1,𝐲_2,𝐥;K)\mathrm{\Theta }_j(s,𝐲_1^{},𝐲_2^{},𝐥;K).$$
(5.13)
We also introduce a random transformation of paths $`\stackrel{~}{K}()=(\stackrel{~}{K}_1(),\stackrel{~}{K}_2())`$ for any $`K𝒞_2`$ given by

$$\stackrel{~}{K}_j(t)=\left[1+\sqrt{\delta }c_1\left(\frac{K_j(t)}{\delta }\right)\right]\widehat{K}_j(t),t0.$$
(5.14)
Finally, let us set

$$F_j(t,𝐲_1,𝐲_2,𝐥;K)=\mathrm{\Theta }_j(t,\delta 𝐲_1,\delta 𝐲_2,𝐥;K)_{𝐲_j}c_1\left(𝐲_j\right)|𝐥|,j=1,2.$$
(5.15)
The modified two particle system with the cut-offs that we will consider is given by

$$\{\begin{array}{c}\frac{d𝒚_j^{(\delta )}(t)}{dt}=\left[1+\sqrt{\delta }c_1\left(\frac{𝒚_j^{(\delta )}(t;𝐱_j,𝐤_j)}{\delta }\right)\right]\widehat{𝒍}_j^{(\delta )}(t;𝐱_j,𝐤_j)\hfill \\ \frac{d𝒍_j^{(\delta )}(t)}{dt}=\frac{1}{\sqrt{\delta }}F_j(t,\frac{𝒚_1^{(\delta )}(t)}{\delta },\frac{𝒚_2^{(\delta )}(t)}{\delta },𝒍_j^{(\delta )}(t);\stackrel{~}{𝒍}^{(\delta )}())\hfill \\ 𝒚_j^{(\delta )}(0)=\mathrm{𝟎},𝒍_j^{(\delta )}(0)=𝐤_j,j=1,2,\hfill \end{array}$$
(5.16)
where the path $`\stackrel{~}{𝒍}^{(\delta )}()=(\stackrel{~}{𝒍}_1^{(\delta )}(),\stackrel{~}{𝒍}_2^{(\delta )}())`$ is obtained from $`𝒍()`$ by the transformation (5.14). We will denote by $`Q^\delta (;M,N,p,q)`$ the law of $`(𝒍_1^{(\delta )}(),𝒚_1^{(\delta )}(),𝒍_2^{(\delta )}(),𝒚_2^{(\delta )}())`$ for a given $`\delta >0`$ over $`𝒞_4`$.

### 5.2 The Mixing Lemmas

For any $`t0`$ we denote by $`_t`$ the $`\sigma `$-algebra generated by $`(𝒍_1^{(\delta )}(s),𝒍_2^{(\delta )}(s))`$, $`st`$. Throughout this section we assume that $`X_1,X_2:\times ^d\times ^{d^2}`$ are certain continuous functions, $`Z`$ is a random variable and $`g_1,g_2`$ are $`^d`$-valued random vectors. We suppose further that $`Z,g_1,g_2`$, are $`_t`$-measurable, while $`X_1,X_2`$ are random fields of the form $`X_i(𝐱)=X_i(c_1(𝐱),_𝐱c_1(𝐱),_𝐱^2c_1(𝐱)),`$ satisfy $`\underset{|𝐱|0}{lim}X_i(𝐱)X_i(\mathrm{𝟎})_{\mathrm{}}=0,i=1,2.`$ We also let

$$U(\theta _1,\theta _2):=𝔼\left[X_1(\theta _1)X_2(\theta _2)\right],(\theta _1,\theta _2)(^d)^2.$$
(5.17)
The following mixing lemmas will be of crucial importance for us in the sequel.

###### Lemma 5.2

Assume that $`r,t0`$ and

$$\underset{ut}{inf}\left|g_i\frac{𝒚_j^{(\delta )}(u)}{\delta }\right|\frac{r}{\delta }$$
(5.18)
$``$–a.s. on the set $`Z0`$ for $`i,j=1,2`$. Then, we have

$$\left|𝔼\left[X_1(g_1)X_2(g_2)Z\right]𝔼\left[U(g_1,g_2)Z\right]\right|2\varphi \left(\frac{r}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}}Z_1.$$
(5.19)
Proof. The proof is a modification of the proof of Lemma 2 of  so we only highlight its main points. Choose an arbitrary $`\eta >0`$. By a suitable modification of $`g_1,g_2`$ on the event $`Z=0`$, so that the modified r.v. remain $`_t`$–measurable, we can guarantee that (5.18) holds $``$–a.s. Let

$$𝐢=(i_1,\mathrm{},i_d)^d\text{ and }C_𝐢:=[i_1/2^{M_1},(i_1+1)/2^{M_1})\times \mathrm{}\times [i_d/2^{M_1},(i_d+1)/2^{M_1})$$

and

$$c_𝐢:=((2i_1+1)/2^{M_1+1},\mathrm{},(2i_d+1)/2^{M_1+1}).$$

Here $`M_1>0`$ is a sufficiently large integer so that

$$X_i(𝐱)X_i(c_𝐢)_{\mathrm{}}\eta ,𝐢^d,𝐱C_𝐢,i=1,2$$
(5.20)
and $`2^{M_1}<r/(20\delta )`$. We let

$$D_{𝐢,𝐣}:=[𝐳:dist(𝐳,C_𝐢C_𝐣)>r(2\delta )^1]$$

and

$$𝔜_t^{(\delta )}:=[\frac{1}{\delta }(𝒚_1^{(\delta )}(s),𝒚_2^{(\delta )}(s)):st].$$

Let us denote by $`I_{𝐢,𝐣}`$ the indicator of the event $`[(g_1,g_2)C_𝐢\times C_𝐣]`$ and the event $`A_{𝐢,𝐣}=[\omega :𝔜_t^{(\delta )}(\omega )D_{𝐢,𝐣}].`$ Note that

$$𝔼\left[X_1(g_1)X_2(g_2)Z\right]=\underset{𝐢,𝐣}{}𝔼\left[X_1(g_1)X_2(g_2)ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right].$$
(5.21)
Using precisely the same argument as in  we prove that $`ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}`$ is $`𝒞(D_{𝐢,𝐣})`$–measurable for each $`𝐢,𝐣^d`$. Note however that the right hand side of (5.21) is equal, up to a term of order $`O(\eta )`$, to

$$\underset{𝐢,𝐣}{}𝔼\left[X_1(c_𝐢)X_2(c_𝐣)ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right].$$
(5.22)
The random variable $`X_1(c_𝐢)X_2(c_𝐣)`$ is however $`𝒞(C_𝐢C_𝐣)`$–measurable. Therefore we can write, see e.g.  p.171, that

$$\underset{𝐢,𝐣}{}\left|𝔼\left[X_1(c_𝐢)X_2(c_𝐣)ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right]U(c_𝐢,c_𝐣)𝔼\left[ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right]\right|$$
(5.23)
$$\underset{𝐢,𝐣}{}\varphi \left(\frac{r}{2\delta }\right)\left|𝔼\left[ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right]\right|X_1_{\mathrm{}}X_2_{\mathrm{}}.$$

However, $`U(c_𝐢,c_𝐣)`$ equals, up to a term of order $`O(\eta )`$, to $`U(g_1,g_2)`$ on the event corresponding to $`I_{𝐢,𝐣}`$. The conclusion of Lemma 5.2 follows upon the passage to the limit $`M_1+\mathrm{}`$ and $`\eta 0`$.

###### Lemma 5.3

Assume that $`r,t`$ are as in the previous lemma. Let $`𝔼X_1=0`$. Furthermore, we assume that $`g_2`$ satisfies $`(\text{5.18})`$,

$$\underset{ut}{inf}\left|g_1\frac{𝒚_j^{(\delta )}(u)}{\delta }\right|\frac{r+r_1}{\delta },j=1,2$$
(5.24)
and

$$|g_1g_2|\frac{r_1}{\delta },$$
(5.25)
for some $`r_10`$, $``$-a.s. on the event $`Z0`$. Then we have

$$\left|𝔼\left[X_1(g_1)X_2(g_2)Z\right]𝔼\left[U(g_1,g_2)Z\right]\right|C_5\varphi ^{1/2}\left(\frac{r}{2\delta }\right)\varphi ^{1/2}\left(\frac{r_1}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}}Z_1$$
(5.26)
for some absolute constant $`C_5>0`$ Here the function $`U`$ is given by $`(\text{5.17})`$.

Proof. We prove that the left hand side of (5.26) is bounded by

$$C_6\varphi \left(\frac{r_1}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}}Z_1.$$
(5.27)
This together with the result of the previous lemma imply (5.26).

Let $`\eta >0`$ and $`M_1`$ be as in the proof of Lemma 5.2, and in addition $`2^{M_1}<r_1/(20\delta )`$. Note that $`X_2(c_𝐣)ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}`$ (in the notation of the proof of Lemma 5.2) is $`𝒞(D_{𝐢,𝐣}C_𝐣)`$–measurable. In addition, we have $`dist(C_𝐢,D_{𝐢,𝐣}C_𝐣)>r_1(2\delta )^1`$ thus, using the mixing coefficient as in e.g.  p.171 we can estimate

$$\underset{𝐢,𝐣}{}\left|𝔼\left[X_1(c_𝐢)X_2(c_𝐣)ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right]\right|2\varphi \left(\frac{r_1}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}}Z_1.$$

On the other hand, we have $`I_{𝐢,𝐣}0`$ only if $`|c_𝐢c_𝐣|r_1(2\delta )^1`$, which in turn implies that

$$|U(c_𝐢,c_𝐣)|C_7\varphi \left(\frac{r_1}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}},$$

with the constant $`C_7`$ independent of $`\eta >0`$.Summarizing, we have shown that

$$\underset{𝐢,𝐣}{}\left|U(c_𝐢,c_𝐣)𝔼\left[ZI_{𝐢,𝐣}\chi _{A_{𝐢,𝐣}}\right]\right|C_8\varphi \left(\frac{r_1}{2\delta }\right)X_1_{\mathrm{}}X_2_{\mathrm{}}Z_1,$$

with the constant $`C_8`$ independent of $`\eta >0`$. Letting $`\eta 0`$ and using (5.20) we conclude (5.26).

### 5.3 Tightness and the martingale property of limiting measures

In this section we prove tightness of the family $`Q^\delta (;M,N,p,q)`$, $`\delta (0,1]`$ and show that any weak limit point $`Q(;M,N,p,q)`$ of this family as $`\delta 0`$, has a certain martingale property.

Let $`^{M,N,p,q}`$ be a random partial differential operator defined on $`C_0^{\mathrm{}}((^d)^2)`$ as follows. For any $`K=(K_1,K_2)𝒞_2`$ and $`GC_0^{\mathrm{}}((^d)^2)`$ we set $`Y=(Y_1,Y_2)𝒞_2`$,

$$Y_i(t)=\underset{0}{\overset{t}{}}K_i(s)𝑑s,i=1,2,$$
(5.28)
$$\mathrm{\Theta }_i(t;K):=\mathrm{\Phi }_{i,}(t;K_i)\mathrm{\Psi }_{}(t;K_i)\mathrm{\Xi }_{}(t;K),$$

where

$$\mathrm{\Phi }_{i,}(t;K_i):=\mathrm{\Phi }_i(t,Y_i(t);K_1),\mathrm{\Psi }_{}(t;K_i):=\mathrm{\Psi }(t,K_i(t);K_i),\mathrm{\Xi }_{}(t;K):=\mathrm{\Xi }(t,Y_1(t),Y_2(t);K).$$

We let

$$(^{M,N,p,q}G)(𝐤_1,𝐤_2;K):=\mathrm{\Theta }_1^2(t;K)_{𝐤_1}G(𝐤_1,𝐤_2)+\mathrm{\Theta }_2^2(t;K)_{𝐤_2}G(𝐤_1,𝐤_2),$$

with $`_{𝐤_i}`$, $`i=1,2`$ given by (4.1).

Let $`\zeta C_b((^d)^{2n})`$ be an arbitrary nonnegative function, let $`0t_1<\mathrm{}<t_nt<u`$ and define $`\zeta (K):=\zeta (K(t_1),\mathrm{},K(t_n))`$. We will show that for any function $`GC_0^{\mathrm{}}((^d)^2)`$ there exists a deterministic constant $`C_9>0`$ such that

$`\left|𝔼\left\{\left[G(𝒍_1^{(\delta )}(u),𝒍_2^{(\delta )}(u))G(𝒍_1^{(\delta )}(t),𝒍_2^{(\delta )}(t))\right]\zeta (𝒍_1^{(\delta )}(),𝒍_2^{(\delta )}())\right\}\right|`$ (5.29)
$`C_9(ut)𝔼[\zeta (𝒍_1^{(\delta )}(),𝒍_2^{(\delta )}())],\zeta (),\delta (0,1].`$
The choice of the constant $`C_9`$ may depend on a particular function $`G`$ but should be the same for all the spatial translates of $`G`$, and may not depend on the test function $`\zeta `$. This, according to Theorem 1.4.6 of , implies tightness of the laws of $`(𝒍_1^{(\delta )}(),𝒍_2^{(\delta )}())`$, $`\delta (0,1]`$ over $`𝒞_2`$.

Additionally, we prove that if $`Q(;M,N,p,q)`$ is any limiting law of $`Q^{\delta _n}(;M,N,p,q)`$, as $`\delta _n0`$ then

$`\underset{n+\mathrm{}}{lim}𝔼\left\{\left[G(𝒍_1^{(\delta _n)}(u),𝒍_2^{(\delta _n)}(u))G(𝒍_1^{(\delta _n)}(t),𝒍_2^{(\delta _n)}(t))\right]\zeta (𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}())\right\}`$ (5.30)
$`={\displaystyle \left\{\left[\underset{t}{\overset{u}{}}(^{M,N,p,q}G)(K(s);K)𝑑s\right]\zeta (K)\right\}Q(dK;M,N,p,q)}`$
for any $`u>t`$. This property will be used in the next section to identify the limiting law of $`(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())`$, as $`\delta 0`$.

Throughout the remainder of this section we suppress writing both the superscript $`\delta `$ and the cut-off parameters $`M,N,p,q`$ of the respective measures. With no loss of generality we assume that there exists $`k_1`$ such that $`s_{k_1}^{(p_1)}t<us_{k_1+1}^{(p_1)}`$, cf. (5.7). Given $`s\sigma >0`$, we define the linear approximation

$$𝑳_j(\sigma ,s):=𝒚_j(\sigma )+(s\sigma )\widehat{𝒍}_j(\sigma ),$$

and

$$𝑹_j(v,\sigma ,s):=(1v)𝑳_j(\sigma ,s)+v𝒚_j(s),j=1,2.$$

The following simple lemma can be verified by a direct calculation.

###### Lemma 5.4

Suppose that $`s\sigma `$. Then,

$$|𝒚_j(s)L_j(\sigma ,s)|\frac{D_1(s\sigma )^2}{2\sqrt{\delta }}+D_0\sqrt{\delta }(s\sigma ),\delta >0,j=1,2.$$

###### Remark 5.5

Throughout this argument we use

$$\sigma (s):=\mathrm{max}[t,s\delta ^{1\gamma _1}]\text{ for some }\gamma _1(0,1/8).$$
(5.31)
The above lemma proves that for this choice of $`\sigma `$ the linear approximation $`L_j(\sigma ,s)`$ of the particle position given by $`𝒚_j(s)`$ is exact, up to a term of order

$$O(\delta ^{3/22\gamma _1}).$$
(5.32)
We begin now the proof of (5.29). Our strategy is based on the perturbation method: the trajectory is approximated by the iterated linear approximation sufficiently many times so that the error becomes deterministically small. The terms that involve the linear approximation are potentially large but are handled with the help of the mixing lemmas. Note that

$`G(𝒍_1^{(\delta )}(u),𝒍_2^{(\delta )}(u))G(𝒍_1^{(\delta )}(t),𝒍_2^{(\delta )}(t))`$ (5.33)
$`={\displaystyle \frac{1}{\sqrt{\delta }}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{t}{\overset{u}{}}}D_{𝐥_j,\alpha }G(𝒍_1(s),𝒍_2(s))F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(s))𝑑s.`$
We can rewrite (5.33) in the form

$$I^{(1)}+I^{(2)}+I^{(3)},$$
(5.34)
where

$`I^{(1)}:={\displaystyle \frac{1}{\sqrt{\delta }}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{t}{\overset{u}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(\sigma ))𝑑s,`$
$`I^{(2)}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\rho ),𝒍_2(\rho ))D_{𝐥_j,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(\rho ))`$
$`\times F_{j,\beta }(\rho ,{\displaystyle \frac{𝒚_1(\rho )}{\delta }},{\displaystyle \frac{𝒚_2(\rho )}{\delta }},𝒍_j(\rho ))dsd\rho ,`$
$`I^{(3)}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_i,\beta }D_{𝐥_j,\alpha }G(𝒍_1(\rho ),𝒍_2(\rho ))`$
$`\times F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(\rho ))F_{i,\beta }(\rho ,{\displaystyle \frac{𝒚_1(\rho )}{\delta }},{\displaystyle \frac{𝒚_2(\rho )}{\delta }},𝒍_i(\rho ))dsd\rho .`$
#### 5.3.1 Term $`𝔼[I^{(1)}\zeta ]`$.

The term $`I^{(1)}`$ can be rewritten in the form

$$J^{(1)}+J^{(2)},$$

where

$$J^{(1)}:=\frac{1}{\sqrt{\delta }}\underset{j,\alpha }{}\underset{t}{\overset{u}{}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))F_{j,\alpha }(s,\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_j(\sigma ))𝑑s,$$

and

$`J^{(2)}:={\displaystyle \frac{1}{\delta ^{3/2}}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{0}{\overset{1}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑹_\mathrm{𝟏}(𝐯,\sigma ,𝐬)}{\delta }},{\displaystyle \frac{𝑹_2(v,\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times (y_{i,\beta }(s)L_{i,\beta }(\sigma ,s))dsdv.`$ (5.35)
Note that we have replaced $`𝒚_j`$ by its linearization $`𝑳_j`$ in the term $`J^{(1)}`$. The linear approximation is always “propelled forward”, which allows us to use Lemma 5.2 to handle the term $`𝔼[J^{(1)}\zeta ]`$. Suppose that $`k`$ is such that $`s,t[t_k^{(p)},t_{k+1}^{(p)})`$, recall also that $`s,t,u[s_{k_1}^{(p_1)},s_{k_1+1}^{(p_1)})`$, and let us fix one trajectory by setting, for instance, $`j=1`$. We will use Lemma 5.2 with $`X_1(𝐱)=_𝐱c_1(𝐱)`$, $`X_2(𝐱)\mathrm{𝟏}`$,

$$Z=\mathrm{\Theta }_1(s_{k_1}^{(p_1)},\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_1(\sigma ))|𝒍_1(\sigma )|D_{𝐥_1}G(𝒍_1(\sigma ),𝒍_2(\sigma ))\zeta $$

and $`g_1=𝑳_1(\sigma ,s)\delta ^1`$, cf. (5.12). We need to verify (5.18). Suppose therefore that $`Z0`$. For $`\rho [0,t_{k1}^{(p)}]`$ we have $`|𝑳_1(\sigma ,s)𝒚_1(\rho )|(2q)^1`$, provided that $`0<\delta <\left(2q\right)^{1/(1\gamma _1)}`$. For $`\rho [t_{k1}^{(p)},\sigma ]`$ we have

$`(𝑳_1(\sigma ,s)𝒚_1(\rho ))\widehat{𝒍}_1\left(t_{k1}^{(p)}\right)`$ (5.36)
$`(s\sigma )\widehat{𝒍}_1\left(\sigma \right)\widehat{𝒍}_1\left(t_{k1}^{(p)}\right)+{\displaystyle \underset{\rho }{\overset{\sigma }{}}}\left[1+\sqrt{\delta }c_1\left({\displaystyle \frac{𝒚_1(\rho _1)}{\delta }}\right)\right]\widehat{𝒍}_1\left(\rho _1\right)\widehat{𝒍}_1\left(t_{k1}^{(p)}\right)𝑑\rho _1`$
$`(s\sigma )\left(1{\displaystyle \frac{2}{N+1}}\right)+(1\sqrt{\delta }D_0)(s\rho )\left(1{\displaystyle \frac{2}{N+1}}\right)(s\sigma )\left(1{\displaystyle \frac{2}{N+1}}\right),`$
provided that $`\delta <1/D_0^2`$. We see from (5.36) that (5.18) is satisfied with $`r=\left(1\frac{2}{N+1}\right)(s\sigma )`$ and $`j=1`$.

We verify next that $`g_1`$ is also separated from $`𝒚_2(\rho )\delta ^1`$, $`\rho [0,\sigma ]`$. Consider two cases. First, when $`s,t[0,t_1^{(p)})`$, using condition (5.3) we obtain then that there exists $`\gamma _N^{}>0`$ depending only on $`N`$ such that

$$\left|g_1\frac{𝒚_2(\rho )}{\delta }\right|\frac{\gamma _N^{}(s\sigma )}{\delta }.$$

Suppose then that $`s,t1/p`$ and $`s,t[s_{k_1}^{(p_1)},s_{k_1+1}^{(p_1)})`$. Then we have for $`\rho [0,s_{k_1}^{(p_1)}]`$, with $`p_1`$ given by (5.7), $`|𝑳_1(\sigma ,s)𝒚_2(\rho )|(2q)^1`$, provided that $`\delta `$ is as above. For $`\rho [s_{k_1}^{(p_1)},\sigma ]`$ we get, thanks to (5.7),

$`|𝑳_1(\sigma ,s)𝒚_2(\rho )|\left|𝑳_1(\sigma ,s)𝒚_2\left(s_{k_1}^{(p_1)}\right)\right|\left|𝒚_2\left(s_{k_1}^{(p_1)}\right)𝒚_2(\rho )\right|`$
$`{\displaystyle \frac{1}{2q}}{\displaystyle \frac{1+D_0}{p_1}}{\displaystyle \frac{1}{4q}}(s\sigma )\left(1{\displaystyle \frac{2}{N+1}}\right),`$
provided that $`\delta <(4q)^{(1\gamma _1)}`$.

Using Lemma 5.2 we estimate

$`\left|𝔼[J^{(1)}\zeta ]\right|{\displaystyle \frac{MD_0}{\sqrt{\delta }}}G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]{\displaystyle \underset{t}{\overset{u}{}}}\varphi \left(C_{10}{\displaystyle \frac{s\sigma }{\delta }}\right)𝑑s`$ (5.37)
$`C_{11}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ],`$
where $`C_{10}:=\mathrm{min}[\gamma _N^{},1/2(12/(N+1))]`$, and $`C_{11}(\delta )`$ depends only on $`\delta `$ and vanishes as $`\delta 0`$.

On the other hand, the term $`J^{(2)}`$ defined by (5.35) may be written as

$$J^{(2)}=J_1^{(2)}+J_2^{(2)},$$

where

$`J_1^{(2)}:={\displaystyle \frac{1}{\delta ^{3/2}}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))`$
$`\times D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))(y_{i,\beta }(s)L_{i,\beta }(\sigma ,s))ds`$
and

$`J_2^{(2)}:={\displaystyle \frac{1}{\delta ^{5/2}}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{k,\gamma }{\underset{i,\beta }{}}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{0}{\overset{1}{}}}{\displaystyle \underset{0}{\overset{1}{}}}D_{𝐲_k,\gamma }D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑹_1(\theta v,\sigma ,s)}{\delta }},{\displaystyle \frac{𝑹_2(\theta v,\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$ (5.38)
$`\times D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))v(y_{i,\beta }(s)L_{i,\beta }(\sigma ,s))(y_{k,\gamma }(s)L_{k,\gamma }(\sigma ,s))dsdvd\theta .`$
The second term may be handled easily with the help of Lemma 5.4 and (5.32). We have

$$|𝔼[J_2^{(2)}\zeta ]|C_{12}D_2𝔼[\zeta ]G_{L^{\mathrm{}}((^d)^2)}(ut)\delta ^{5/2}\delta ^{34\gamma _1}C_{13}\delta ^{1/24\gamma _1}(ut)𝔼[\zeta ]G_{L^{\mathrm{}}(^{2d})}.$$
(5.39)
In order to estimate $`J_1^{(2)}`$ we split it as

$$J_1^{(2)}=J_{1,1}^{(2)}+J_{1,2}^{(2)}$$
(5.40)
where

$`J_{1,1}^{(2)}:={\displaystyle \frac{1}{\delta ^{3/2}}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times (s\rho _1){\displaystyle \frac{d}{d\rho _1}}\widehat{l}_{i,\beta }(\rho _1)dsd\rho _1,`$ (5.41)
and

$`J_{1,2}^{(2)}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$ (5.42)
$`\times c_1\left({\displaystyle \frac{𝒚_i(\rho )}{\delta }}\right)\widehat{l}_{i,\beta }(\rho )dsd\rho ,`$
with

$$\frac{d}{d\rho _1}\widehat{l}_{i,\beta }(\rho _1)=|𝒍(\rho _1)|^1\left[\frac{d}{d\rho _1}l_{i,\beta }(\rho _1)(\widehat{𝒍}_i(\rho _1),\frac{d}{d\rho _1}𝒍_i(\rho _1))_^d\widehat{l}_{i,\beta }(\rho _1)\right].$$
(5.43)
We deal with $`J_{1,2}^{(2)}`$ first. It may be split as $`J_{1,2}^{(2)}=J_{1,2,1}^{(2)}+J_{1,2,2}^{(2)}+J_{1,2,3}^{(2)}`$, where

$`J_{1,2,1}^{(2)}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$ (5.44)
$`\times c_1\left({\displaystyle \frac{L_i(\sigma ,\rho )}{\delta }}\right)\widehat{l}_{i,\beta }(\sigma )dsd\rho ,`$
$`J_{1,2,2}^{(2)}:={\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta ,\gamma }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \underset{0}{\overset{1}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times (D_{𝐲_i,\gamma }c_1)\left({\displaystyle \frac{R_i(v,\sigma ,\rho )}{\delta }}\right)(y_{i,\gamma }(\rho )L_{i,\gamma }(\sigma ,\rho ))\widehat{l}_{i,\beta }(\rho )dsd\rho dv`$
and

$`J_{1,2,3}^{(2)}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \underset{\sigma }{\overset{\rho }{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times c_1\left({\displaystyle \frac{𝑳_i(\sigma ,s)}{\delta }}\right){\displaystyle \frac{d}{d\rho _1}}\widehat{l}_{i,\beta }(\rho _1)dsd\rho d\rho _1.`$
By virtue of Lemma 5.4, (5.32) and the definition (5.15), we obtain easily

$$|𝔼[J_{1,2,2}^{(2)}\zeta ]|=O(\delta ^{1/22\gamma _1})G_{L^{\mathrm{}}((^d)^2)}(ut)𝔼\zeta ,\text{ as }\delta 0.$$
(5.45)
The same argument also shows that $`|𝔼[J_{1,2,3}^{(2)}\zeta ]|`$ is of the order of magnitude of the right hand side of (5.45).

Using Lemma 5.1 and the definition (5.15) we conclude that

$$D_{𝐲_i}\mathrm{\Theta }_i(s,\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_i(\sigma ))=O(\delta ).$$

Therefore, $`|𝔼[J_{1,2,1}^{(2)}\zeta ]|`$ is equal, up to a term of order $`O(\delta ^{1\gamma _1})(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼\zeta `$, to

$`{\displaystyle \frac{1}{\delta }}{\displaystyle \underset{i,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}𝔼[D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))\mathrm{\Theta }_i(s_{k_1}^{(p_1)},{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))`$ (5.46)
$`\times D_{𝐲_i,\beta }D_{𝐲_i,\alpha }c_1\left({\displaystyle \frac{𝑳_i(\sigma ,s)}{\delta }}\right)c_1\left({\displaystyle \frac{𝑳_i(\sigma ,\rho )}{\delta }}\right)|𝒍_i(\sigma )|\widehat{l}_{i,\beta }(\sigma )\zeta ]dsd\rho .`$
Let $`\delta <(2p_1)^{1/(1\gamma _1)}`$ and fix $`i`$. We may apply Lemma 5.3, with

$`Z=D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))\mathrm{\Theta }_i(s_{k_1}^{(p_1)},{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))|𝒍_i(\sigma )|\widehat{l}_{i,\beta }(\sigma )\zeta ,`$
$`X_1:=D_{𝐲_i,\beta }D_{𝐲_i,\alpha }c_1(𝐱),X_2:=c_1(𝐱),`$
$`g_1:={\displaystyle \frac{𝑳_i(\sigma ,s)}{\delta }},g_2:={\displaystyle \frac{𝑳_i(\sigma ,\rho )}{\delta }},r=C_{13}(\rho \sigma ),r_1=C_{13}(s\rho ),`$
where $`C_{13}>0`$ depends only on $`N`$. We conclude that

$`|𝔼\left[J_{1,2,1}^{(2)}\zeta \right]+{\displaystyle \frac{1}{\delta }}{\displaystyle \underset{i,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}𝔼[\mathrm{\Theta }_i(\sigma ,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))`$ (5.47)
$`\times |𝒍_i(\sigma )|\widehat{l}_{i,\beta }(\sigma )_{\alpha ,\beta }^2R\left({\displaystyle \frac{𝑳_i(\sigma ,s)𝑳_i(\sigma ,\rho )}{\delta }}\right)\zeta \left]dsd\rho \right|`$
$`C_{14}\delta ^1G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}\varphi ^{1/2}\left({\displaystyle \frac{C_{13}(\rho \sigma )}{2\delta }}\right)\varphi ^{1/2}\left({\displaystyle \frac{C_{13}(s\rho )}{2\delta }}\right)𝑑s𝑑\rho .`$
Here we used the fact that

$$\mathrm{\Theta }_i(\sigma ,\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_i(\sigma ))=\mathrm{\Theta }_i(s_{k_1}^{(p_1)},\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_i(\sigma )).$$

The right hand side of (5.47) is of the form $`C_{15}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼\zeta `$, where $`C_{15}(\delta )`$ vanishes, as $`\delta 0`$. The second term appearing on the left hand side equals to

$`{\displaystyle \underset{i,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}𝔼\{\mathrm{\Theta }_i(\sigma ,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))`$ (5.48)
$`\times \left[{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \frac{d}{d\rho }}_\alpha R\left({\displaystyle \frac{s\rho }{\delta }}\widehat{𝒍}_i(\sigma )\right)d\rho \right]|𝒍_i(\sigma )|\zeta \}ds`$
$`={\displaystyle \underset{i,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}𝔼\left[\mathrm{\Theta }_i(\sigma ,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))_\alpha R\left({\displaystyle \frac{s\sigma }{\delta }}\widehat{𝒍}_i(\sigma )\right)|𝒍_i(\sigma )|\zeta \right]𝑑s`$
thanks to the fact that $`_𝒚R(\mathrm{𝟎})=\mathrm{𝟎}`$. The term appearing on the right hand side of (5.48) vanishes as $`\delta 0`$ and, in consequence we have shown that $`|𝔼[J_{1,2,1}^{(2)}\zeta ]|=C_{16}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼\zeta `$, where $`C_{16}(\delta )`$ vanishes, as $`\delta 0`$.

We now estimate $`J_{1,1}^{(2)}`$ given by (5.41). Note that according to (5.43) and (5.16) we have

$$J_{1,1}^{(2)}=J_{1,1,1}^{(2)}+J_{1,1,2}^{(2)},$$

where

$`J_{1,1,1}^{(2)}:={\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times (s\rho _1)\mathrm{\Gamma }_{i,\beta }(\rho _1,{\displaystyle \frac{𝒚_1(\rho _1)}{\delta }},{\displaystyle \frac{𝒚_2(\rho _1)}{\delta }},𝒍_i(\sigma ))dsd\rho _1,`$
with

$$\mathrm{\Gamma }_i(\rho ,𝒚_1,𝒚_2,𝐥):=|𝐥|^1\left[F_i(\rho ,𝒚_1,𝒚_2,𝐥)(\widehat{𝐥},F_i(\rho ,𝒚_1,𝒚_2,𝐥))_^d\widehat{𝐥}\right],$$

while

$`J_{1,1,2}^{(2)}:={\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{j,\alpha }{}}{\displaystyle \underset{i,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \underset{\sigma }{\overset{\rho _1}{}}}D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times (s\rho _1){\displaystyle \frac{d}{d\rho _2}}\mathrm{\Gamma }_{i,\beta }(\rho _1,{\displaystyle \frac{𝒚_1(\rho _1)}{\delta }},{\displaystyle \frac{𝒚_2(\rho _1)}{\delta }},𝒍_i(\rho _2))dsd\rho _1d\rho _2.`$ (5.49)
A straightforward computation, using Lemma 5.4 (note that $`\frac{d}{d\rho _2}\mathrm{\Gamma }_{i,\beta }\delta ^{1/2}`$ in (5.49)), shows that

$$|𝔼[J_{1,1,2}^{(2)}\zeta ]|O(\delta ^{1/23\gamma _1})(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ].$$

An application of Lemma 5.4, in the same fashion as it was done in the calculations concerning the terms $`𝔼[J_{1,2,2}^{(2)}\zeta ]`$ and $`𝔼[J_{1,2,3}^{(2)}\zeta ]`$, yields that $`𝔼[J_{1,1,1}^{(2)}\zeta ]`$ is equal, up to a term of the order $`C_{17}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$, where $`\underset{\delta 0}{lim}C_{17}(\delta )=0`$, to

$`{\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{i,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}(s\rho _1)𝔼[D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐲_i,\beta }F_{i,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_i(\sigma ))`$ (5.50)
$`\times \mathrm{\Gamma }_{i,\beta }(\rho _1,{\displaystyle \frac{𝑳_1(\sigma ,\rho _1)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,\rho _1)}{\delta }},𝒍_i(\sigma ))\zeta ]dsd\rho _1.`$
We denote

$$V_{i,\beta }(𝒚_1,𝒚_2,𝒚_1^{},𝒚_2^{},𝐥):=\left(\underset{\gamma ,q}{}_{\beta ,\gamma ,q}^3R(𝒚_i𝒚_i^{})\widehat{l}_q\widehat{l}_\gamma \underset{\gamma }{}_{\beta ,\gamma ,\gamma }^3R(𝒚_i𝒚_i^{})\right)|𝐥|.$$

Applying Lemmas 5.1 and 5.3, as in (5.46) (5.47), we conclude that (5.50) is equal, up to a term of order $`C_{18}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$, where $`\underset{\delta 0}{lim}C_{18}(\delta )=0`$, to

$$\frac{1}{\delta ^2}\underset{i,\alpha }{}\underset{t}{\overset{u}{}}\underset{\sigma }{\overset{s}{}}(s\rho _1)𝔼\left\{D_{𝐥_i,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))\mathrm{\Lambda }_i(\sigma ,P_i;\stackrel{~}{𝒍}())V_{i,\alpha }(P_i)\zeta \right\}𝑑s𝑑\rho _1,$$
(5.51)
with $`\mathrm{\Lambda }_i`$ defined by (5.13), and $`P_i=(𝑳_1(\sigma ,s),𝑳_2(\sigma ,s),𝑳_1(\sigma ,\rho _1),𝑳_2(\sigma ,\rho _1),𝒍_i(\sigma )).`$ Note, however, that for $`s[s_{k_1}^{(p_1)},s_{k_1+1}^{(p_1)}]`$

$$\mathrm{\Xi }(s,𝑳_1(\sigma ,s),𝑳_2(\sigma ,s))=\mathrm{\Xi }(s_{k_1}^{(p_1)},𝑳_1(\sigma ,s),𝑳_2(\sigma ,s))$$

and

$$\left|\mathrm{\Xi }(\sigma ,𝑳_1(\sigma ,s),𝑳_2(\sigma ,s))\mathrm{\Xi }(\sigma ,𝒚_1(\sigma ),𝒚_2(\sigma ))\right|C\underset{p=1}{\overset{2}{}}\left|L_p(\sigma ,s)𝒚_p(\sigma )\right|C(s\sigma )C\delta ^{1\gamma _1}.$$

A similar estimate holds also for the terms containing $`𝑳_i(\sigma ,\rho _1)`$ and we conclude that the expression in (5.51) is equal, up to a term of order $`C_{19}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$, where $`\underset{\delta 0}{lim}C_{19}(\delta )=0`$, to

$$\frac{1}{\delta ^2}\underset{i,\alpha }{}\underset{t+\delta ^{1\gamma _1}}{\overset{u}{}}𝔼\left\{D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))\overline{\mathrm{\Theta }}_i^2(\sigma )\left[\underset{\sigma }{\overset{s}{}}(s\rho _1)V_{i,\alpha }(P_i)𝑑\rho _1\right]\zeta \right\}𝑑s,$$
(5.52)
with

$$\overline{\mathrm{\Theta }}_i(\sigma ):=\mathrm{\Theta }_i(\sigma ,𝒚_1(\sigma ),𝒚_2(\sigma ),𝒍(\sigma );\stackrel{~}{𝒍}()).$$

Note that, for $`s>t+\delta ^{1\gamma _1}`$ we have

$`{\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{i,\alpha }{}}{\displaystyle \underset{s\delta ^{1\gamma _1}}{\overset{s}{}}}(s\rho _1)V_{i,\alpha }(P_i)𝑑\rho _1={\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{i,\alpha }{}}|𝒍_i(\sigma )|{\displaystyle \underset{s\delta ^{1\gamma _1}}{\overset{s}{}}}(s\rho _1)`$ (5.53)
$`\times \left[{\displaystyle \underset{\gamma ,q}{}}_{\alpha ,\gamma ,q}^3R\left({\displaystyle \frac{s\rho _1}{\delta }}\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,q}(\sigma )\widehat{l}_{i,\gamma }(\sigma ){\displaystyle \underset{\gamma }{}}_{\alpha ,\gamma ,\gamma }^3R\left({\displaystyle \frac{s\rho _1}{\delta }}\widehat{𝒍}_i(\sigma )\right)\right]d\rho _1`$
$`={\displaystyle \underset{i,\alpha }{}}|𝒍_i(\sigma )|{\displaystyle \underset{0}{\overset{\delta ^{\gamma _1}}{}}}\rho _1\left[{\displaystyle \underset{\gamma ,q}{}}_{\alpha ,\gamma ,q}^3R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,q}(\sigma )\widehat{l}_{i,\gamma }(\sigma ){\displaystyle \underset{\gamma }{}}_{\alpha ,\gamma ,\gamma }^3R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)\right]𝑑\rho _1.`$
Using the fact that

$$\underset{q}{}_{\alpha ,\gamma ,q}^3R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,q}(\sigma )=\frac{d}{d\rho _1}_{\alpha ,\gamma }^2R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)$$

we obtain, upon the integration by parts performed in the first term on the utmost right hand side of (5.53), that this term equals to

$`{\displaystyle \underset{i,\alpha ,\gamma }{}}|𝒍_i(\sigma )|[\delta ^{\gamma _1}_{\alpha ,\gamma }^2R\left(\delta ^{\gamma _1}\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,\gamma }(\sigma ){\displaystyle \underset{0}{\overset{\delta ^{\gamma _1}}{}}}_{\alpha ,\gamma }^2R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,\gamma }(\sigma )d\rho _1`$ (5.54)
$`{\displaystyle \underset{0}{\overset{\delta ^{\gamma _1}}{}}}\rho _1_{\alpha ,\gamma ,\gamma }^3R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)d\rho _1]`$
$`={\displaystyle \underset{i,\alpha ,\gamma }{}}|𝒍_i(\sigma )|\left[\delta ^{\gamma _1}_{\alpha ,\gamma }^2R\left(\delta ^{\gamma _1}\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,\gamma }(\sigma )_\alpha R\left(\delta ^{\gamma _1}\widehat{𝒍}_i(\sigma )\right){\displaystyle \underset{0}{\overset{\delta ^{\gamma _1}}{}}}\rho _1_{\alpha ,\gamma ,\gamma }^3R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)d\rho _1\right].`$
We have used here the fact that $`R(\mathrm{𝟎})=\mathrm{𝟎}`$ and

$$\underset{\gamma }{}_{\alpha ,\gamma }R\left(\rho _1\widehat{𝒍}_i(\sigma )\right)\widehat{l}_{i,\gamma }(\sigma )=\frac{d}{d\rho _1}_\alpha R\left(\rho _1\widehat{𝒍}_i(\sigma )\right).$$

Summarizing the work done in this section, we have shown that

$$|𝔼[I^{(1)}\zeta ]|C_{20}(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼\zeta ,$$
(5.55)
where the constant $`C_{20}`$ does not depend on $`\delta `$ and $`G`$.

#### 5.3.2 The terms $`𝔼[I^{(2)}\zeta ]`$ and $`𝔼[I^{(3)}\zeta ]`$

The calculations concerning these terms essentially follow the respective steps performed in the previous section so we only highlight their main points. First, we note that because $`𝒍_i(\rho )𝒍_i(\sigma )\delta ^{1/2\gamma _1}`$ we have that $`𝔼[I^{(2)}\zeta ]`$ is, up to a term $`C_{21}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$, where $`\underset{\delta 0}{lim}C_{21}(\delta )=0`$, equal to

$`{\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}𝔼[D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐥_j,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(\sigma ))`$ (5.56)
$`\times F_{j,\beta }(\rho ,{\displaystyle \frac{𝒚_1(\rho )}{\delta }},{\displaystyle \frac{𝒚_2(\rho )}{\delta }},𝒍_j(\sigma ))\zeta ]dsd\rho .`$
Replacing $`\rho `$ by $`\sigma `$ as the argument of $`𝒍_1()`$, $`𝒍_2()`$ in (5.56) needs a correction that is of order of magnitude $`O(\delta ^{1/22\gamma _1})(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$, since $`\gamma _1(0,1/8]`$. Next we note that (5.56) equals

$`{\displaystyle \frac{1}{\delta }}{\displaystyle \underset{j,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}𝔼[D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))D_{𝐥_j,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\rho ))`$ (5.57)
$`\times F_{j,\beta }(\rho ,{\displaystyle \frac{𝑳_1(\sigma ,\rho )}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,\rho )}{\delta }},𝒍_j(\sigma ))\zeta ]dsd\rho `$
$`+{\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{i,\gamma }{}}{\displaystyle \underset{j,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \underset{0}{\overset{1}{}}}𝔼[D_{𝐥_j,\alpha }G(𝒍_1(\rho ),𝒍_2(\rho ))D_{𝐲_i,\gamma }D_{𝐥_j,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝑹_1(v,\sigma ,s)}{\delta }},{\displaystyle \frac{𝑹_2(v,\sigma ,s)}{\delta }},𝒍_j(\sigma ))`$
$`\times F_{j,\beta }(\rho ,{\displaystyle \frac{𝑳_1(\sigma ,\rho )}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,\rho )}{\delta }},𝒍_j(\sigma ))(y_{i,\gamma }(s)L_{i,\gamma }(\sigma ,s))\zeta ]dsd\rho dv`$
$`+{\displaystyle \frac{1}{\delta ^2}}{\displaystyle \underset{i,\gamma }{}}{\displaystyle \underset{j,\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}{\displaystyle \underset{0}{\overset{1}{}}}𝔼[D_{𝐥_j,\alpha }G(𝒍_1(\rho ),𝒍_2(\rho ))D_{𝐲_i,\gamma }D_{𝐥_j,\beta }F_{j,\alpha }(s,{\displaystyle \frac{𝒚_1(s)}{\delta }},{\displaystyle \frac{𝒚_2(s)}{\delta }},𝒍_j(\sigma ))`$
$`\times F_{j,\beta }(\rho ,{\displaystyle \frac{𝑹_1(v,\sigma ,\rho )}{\delta }},{\displaystyle \frac{𝑹_2(v,\sigma ,\rho )}{\delta }},𝒍_j(\sigma ))(y_{i,\gamma }(s)L_{i,\gamma }(\sigma ,\rho ))\zeta ]dsd\rho dv.`$
A simple argument using Lemma 5.4, (5.31) and (5.32) shows that the second and third terms of (5.57) are both of order of magnitude $`O(\delta ^{1/23\gamma _1})(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]`$.

The first term, on the other hand, can be handled with the help of Lemma 5.3 in the same fashion as we have dealt with the term $`J_{1,2,1}^{(2)}`$, given by (5.44) of Section 5.3.1, and we obtain that

$$|𝔼[I^{(2)}\zeta ]|C_{22}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ],$$
(5.58)
where $`\underset{\delta 0}{lim}C_{22}(\delta )=0`$.

Finally, concerning the limit of $`𝔼[I^{(3)}\zeta ]`$ we note that by Lemma 5.4 we have

$$𝔼[I^{(3)}\zeta ]C_{23}(\delta )(ut)G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ]+\underset{i,j}{}_{i,j}$$
(5.59)
where $`\underset{\delta 0}{lim}C_{23}(\delta )=0`$ and

$`_{i,j}:={\displaystyle \frac{1}{\delta }}{\displaystyle \underset{\alpha ,\beta }{}}{\displaystyle \underset{t}{\overset{u}{}}}{\displaystyle \underset{\sigma }{\overset{s}{}}}𝔼\{D_{𝐥_i,\beta }D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))`$
$`\times F_{j,\alpha }(s,{\displaystyle \frac{𝑳_1(\sigma ,s)}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,s)}{\delta }},𝒍_j(\sigma ))F_{i,\beta }(\rho ,{\displaystyle \frac{𝑳_1(\sigma ,\rho )}{\delta }},{\displaystyle \frac{𝑳_2(\sigma ,\rho )}{\delta }},𝒍_i(\sigma ))\zeta \}dsd\rho ,`$
First, let $`ij`$ and $`2\delta ^{1\gamma _1}M(2q)^1`$. Suppose also that $`st_1^{(p)}`$. We have then

$$|𝑳_i(\sigma ,s)𝑳_j(\sigma ,\rho )|\frac{1}{q}2M(s\sigma )\frac{1}{2q}$$

on the event (with fixed $`\alpha ,\beta `$)

$$\mathrm{\Theta }_j(s,\frac{𝑳_1(\sigma ,s)}{\delta },\frac{𝑳_2(\sigma ,s)}{\delta },𝒍_j(\sigma ))\mathrm{\Theta }_i(s,\frac{𝑳_1(\sigma ,\rho )}{\delta },\frac{𝑳_2(\sigma ,\rho )}{\delta },𝒍_i(\sigma ))$$

$$\times D_{𝐥_i,\beta }D_{𝐥_j,\alpha }G(𝒍_1(\sigma ),𝒍_2(\sigma ))|𝒍_j(\sigma )||𝒍_i(\sigma )|0.$$

When, on the other hand, $`s,\rho [0,t_1^{(p)}]`$, then we conclude from (5.3) that

$$|𝑳_i(\sigma ,s)𝑳_j(\sigma ,\rho )|\gamma _N^{}s\gamma _N^{}(s\sigma ).$$

Therefore $`|_{i,j}|`$ can be then estimated via Lemma 5.3 and Lemma 5.1 by

$$C_{23}D_1^2M^2D_{𝐥_1}D_{𝐥_2}G_L^{\mathrm{}}\left[\delta ^{\gamma _1}\varphi ^{1/2}\left(\frac{\gamma _N^{}}{\delta ^{\gamma _1}}\right)+\delta ^{12\gamma _1}\right]𝔼[\zeta ].$$
(5.60)
It obviously vanishes, as $`\delta 0`$. The second term in (5.60) arises from the contribution of $`s<t+\delta ^{1\gamma _1}`$.

When $`i=j`$ we can use Lemma 5.3 in order to obtain

$$|_{i,i}|C_{24}(ut)^2G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ].$$

Summarizing, we conclude that

$$|𝔼[I^{(3)}\zeta ]|C_{25}(ut)^2G_{L^{\mathrm{}}((^d)^2)}𝔼[\zeta ],$$

where $`C_{25}`$ can be chosen independently of $`\delta `$ and $`G`$. Hence we conclude (5.29) and tightness follows.

Suppose now that $`Q`$ is any limiting measure of $`Q^{(\delta _n)}`$ for a certain sequence $`\delta _n0`$, as $`n+\mathrm{}`$. Coming back to (5.52) we conclude, using calculation (5.53)–(5.54), that the limit, as $`\delta 0`$, of the expression on the left hand side of (5.52) equals to

$$\underset{i,\alpha }{}\left[\underset{t}{\overset{u}{}}a_\alpha ^{(i)}(s)D_{𝐥_i,\alpha }G(K_1(s),K_2(s))|K_i(s)|\overline{\mathrm{\Lambda }}_i(s)\zeta (K)𝑑s\right]Q(dK),$$
(5.61)
where

$`\overline{\mathrm{\Lambda }}_i(s):=\mathrm{\Lambda }_i(s,Y_1(s),Y_2(s),K_1(s),K_2(s);K(),\widehat{K}()),`$
$`Y_i(s):=𝐱_i+{\displaystyle \underset{0}{\overset{s}{}}}\widehat{K_i}(\rho )𝑑\rho ,i=1,2,`$
$`a_\alpha ^{(i)}(s):={\displaystyle \underset{\gamma }{}}{\displaystyle \underset{0}{\overset{+\mathrm{}}{}}}\rho _1_{\alpha ,\gamma ,\gamma }^3R\left(\rho _1\widehat{K_i}(s)\right)d\rho _1.`$
Similarly, we calculate the limit, as $`\delta 0`$, of $`𝔼[I^{(3)}\zeta ]`$. We know that only the limits of the terms $`_{i,i}`$ contribute. A straightforward computation shows that

$$\underset{\delta 0}{lim}\underset{i}{}_{i,i}=\underset{i,\alpha ,\beta }{}\left[\underset{t}{\overset{u}{}}c_{\alpha ,\beta }^{(i)}(s)D_{𝐥_i,\alpha }D_{𝐥_i,\beta }G(K_1(s),K_2(s))\overline{H}^{(i)}(s)\zeta (K)𝑑s\right]Q(dK),$$

where

$$c_{\alpha ,\beta }^{(i)}(s):=|K_i(s)|^2\underset{0}{\overset{+\mathrm{}}{}}_{\alpha ,\beta }^2R(\rho \widehat{K_i}(s))d\rho ,$$

$$\overline{H}^{(i)}(s):=\mathrm{\Theta }_i^2(s,Y_1(s),Y_2(s),K_i(s)).$$

Summarizing, we have shown that any limiting measure $`Q`$ satisfies (5.30).

### 5.4 The removal of cut-offs and the proof of weak convergence of $`(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())`$

Let $`𝔔_{𝐤_1,𝐤_2}:=𝔔_{𝐤_1}𝔔_{𝐤_2}`$ be the law of two independent copies of the diffusion given by (4.1) over $`𝒞_2(k_1,k_2)`$ starting respectively at $`𝐤_1`$ and $`𝐤_2`$. For a fixed $`M`$ let $`𝔔_{𝐤_1}^{(M)}`$ be the law over $`𝒞_1`$ of any diffusion starting at a given $`𝐤_1^d`$ with the generator $`^{(M)}`$ given by

$$^{(M)}F(𝐤)=\underset{p,q}{}a_{p,q}^{(M)}(𝐤)_{k_p,k_q}^2F(𝐤)+\underset{p}{}b_p^{(M)}(𝐤)_{k_p}F(𝐤),FC_0^{\mathrm{}}(^d).$$

Here $`a_{p,q}^{(M)}()`$, $`b_p^{(M)}()`$ are bounded and twice continuously differentiable, $`a_{p,q}^{(M)}(𝐤)=|𝐤|^2D_{p,q}(\widehat{𝐤})`$, $`b_p^{(M)}(𝐤)=|𝐤|E_p(\widehat{𝐤})`$ for $`M^1|𝐤|M`$. By virtue of Theorems 5.2.3 and 5.3.2 of  we conclude that $`𝔔_{𝐤_1}^{(M)}`$ is the unique probability measure such that

$$F(K(t))F(𝐤_1)\underset{0}{\overset{t}{}}^{(M)}F(K(s))𝑑s,t0$$

is an $`\left(_1^{0,t}\right)_{t0}`$-martingale for any $`FC_b^2(^d)`$. We define $`𝔔_{𝐤_1,𝐤_2}^{(M)}:=𝔔_{𝐤_1}^{(M)}𝔔_{𝐤_2}^{(M)}`$.

Let us briefly describe the strategy of the proof of weak convergence of $`(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())`$. First, for any $`K𝒞_2`$ we define a certain stopping time $`W(K;M,N,p,q)`$, see (5.63). The crucial property of that time is that the dynamics given by (4.8) agrees with the dynamics of the truncated system (5.16) up to $`W(;M,N,p,q)`$. We also show that any limiting measure $`Q(;M,N,p,q)`$ satisfies, up to the stopping time, the martingale problem associated with the diffusion given by $`𝔔_{𝐤_1,𝐤_2}`$. This property allows to identify $`Q(;M,N,p,q)`$ with $`𝔔_{𝐤_1,𝐤_2}`$ on the $`\sigma `$–algebra $`_2^{0,W}`$ corresponding to the stopping time. The final step is to show that for sufficiently large $`N`$, so that (5.3) is satisfied, and sufficiently large $`M`$, as in (5.1), the stopping time $`W(;M,N,p,q)`$ converges to infinity in $`𝔔_{𝐤_1,𝐤_2}`$ as $`q+\mathrm{}`$ and $`p+\mathrm{}`$ (in that order), see (5.64). The weak convergence statement is a consequence of this property of the stopping time and it is shown in the calculation following (5.80).

We introduce the following $`(_2^{0,t})_{t0}`$–stopping times. As before, for any $`K=(K_1,K_2)`$ such that $`K(t)\mathrm{𝟎}`$ for all $`t0`$ we define

$$Y_j(t):=\underset{0}{\overset{t}{}}\widehat{K}_j(s)𝑑s.$$
(5.62)
For such a $`K`$ we let $`S(N,p):=\underset{n+\mathrm{}}{lim}S_n(N,p)`$, where

$`S_n(N,p):=inf\{t0:\text{ for some }k0\text{ we have }t[t_k^{(p)},t_{k+1}^{(p)})`$
$`\text{ and }\widehat{K}_i(t_j^{(p)})\widehat{K}_i(t)<1{\displaystyle \frac{2}{N+1}}+{\displaystyle \frac{1}{n}},\text{ for some }i\{1,2\}\text{ or }j\{k1,k\}\}.`$
If $`K`$ is such that it becomes $`\mathrm{𝟎}`$ for some $`t`$ we adopt of the convention that $`S(N,p)=+\mathrm{}`$. We let further $`T(M):=\underset{n+\mathrm{}}{lim}T_n(M)`$, where

$$T_n(M):=inf\{t0:|K_i(t)|<\frac{1}{M}+\frac{1}{n},\text{ for some }i\{1,2\},$$

$$\text{ or }|K_i(t)|>M\frac{1}{n},\text{ for some }i\{1,2\}\}.$$

Finally, for any $`R_1,R_2>0`$ and $`K=(K_1,K_2)𝒞_2(R_1,R_2)`$ we let $`U(p,q;K):=\underset{n+\mathrm{}}{lim}U_n(p,q;K)`$, $`V(p,q;K):=\underset{n+\mathrm{}}{lim}V_n(p,q;K)`$, where

$`U_n(p,q;K):=inf\{t0:\text{ for some }k1,i\{1,2\}\text{ we have }u[0,t_{k1}^{(p)}],t[t_k^{(p)},t_{k+1}^{(p)})`$
$`\text{ such that }|Y_i(t)Y_i(u)|<{\displaystyle \frac{1}{q}}+{\displaystyle \frac{1}{n}}\},`$
$$V_n(p,q;K):=inf\{t\frac{1}{p}:\underset{0ut}{inf}\left|Y_1(t)Y_2(u)\right|<\frac{1}{q}+\frac{1}{n},\text{ or }\underset{0ut}{inf}\left|Y_2(t)Y_1(u)\right|<\frac{1}{q}+\frac{1}{n}\}.$$

We adopt the convention that any of the above defined stopping times is infinite if the respective set of times over which it is determined is empty.

Suppose that $`T_0>0`$ is an arbitrary deterministic time. Let

$$W(M,N,p,q):=S(N,p)T(M)U(p,q)V(p,q)\text{ and }$$
(5.63)
$$B(M,N,p,q):=\{S(N,p)U(p,q)V(p,q)T(M)T_0\}.$$

We have $`B_2^{0,W}`$. According to Theorem 6.1.2 of  the measures $`𝔔_{𝐤_1,𝐤_2}`$, $`𝔔_{𝐤_1,𝐤_2}^{(M)}`$, $`Q(;M,N,p,q)`$ agree, when restricted to $`_2^{0,W}`$. In what follows we show that

$$\underset{p+\mathrm{}}{lim}\underset{q+\mathrm{}}{lim}𝔔_{𝐤_1,𝐤_2}[W(M,N,p,q)<+\mathrm{}]=0.$$
(5.64)
The condition

$$T_0<W(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}();M,N,p,q)=W(𝒍_1^{(\delta )}(),𝒍_2^{(\delta )}();M,N,p,q)$$
(5.65)
implies $`(𝒌_1^{(\delta )}(s),𝒌_2^{(\delta )}(s))=(𝒍_1^{(\delta )}(s),𝒍_2^{(\delta )}(s))`$ for $`s[0,T_0]`$. We will use both (5.64) and (5.65) to establish weak convergence of the laws of $`(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())`$ over $`C([0,T_0];(^d)^2)`$.

We start with the following simple observation.

###### Lemma 5.6

With the choice of $`M`$ as in $`(\text{5.1})`$ we have

$$𝔔_{𝐤_1,𝐤_2}[T(M)=+\mathrm{}]=1.$$

Proof. A simple calculation using Itô formula and Remark 4.1 shows that $`d|𝐤_j(t)|^2=0`$, $`j=1,2`$ which proves the lemma.

###### Lemma 5.7

Under the assumptions of Theorem 4.4 we have

$$\underset{q+\mathrm{}}{lim}U(p,q)=+\mathrm{},p,𝔔_{𝐤_1,𝐤_2}a.s.$$
(5.66)
Proof. The proof is essentially the repetition of the argument from  pp. 60-61 so we only highlight its main points. It suffices only to show that

$$\underset{q+\mathrm{}}{lim}U^{(i)}(p,q)=+\mathrm{},p,𝔔_{𝐤_i}a.s.,$$
(5.67)
where $`U^{(i)}(p,q):=\underset{n+\mathrm{}}{lim}U_n^{(i)}(p,q)`$,

$$U_n^{(i)}(p,q):=inf\{t0:\text{ for some }k1,\text{ we have }u[0,t_{k1}^{(p)}],t[t_k^{(p)},t_{k+1}^{(p)})$$

$$\text{ such that }\left|_u^t\widehat{K}_i(s)ds\right|<\frac{1}{q}+\frac{1}{n}\}.$$

However, (5.67) can be proved with the help of the argument contained in pp. 60-61  so we omit the details here. We obtain from (5.67)

$$\underset{q+\mathrm{}}{lim}U(p,q)=+\mathrm{},p,𝔔_{𝐤_1,𝐤_2}a.s.$$

However $`U(p,q)=U^{(1)}(p,q)U^{(2)}(p,q)`$ and (5.66) follows.

Let us denote by

$$𝔜_t^{(j)}:=\underset{0st}{}Y_j(s)$$
(5.68)
and by $`B_r(𝔜_t^{(j)}):=[𝐱:\text{ dist}(𝐱,𝔜_t^{(j)})r]`$ the sausage, up to time $`t`$, of diameter $`r>0`$ around trajectory $`Y_j()`$.

The next lemma shows that $`S(N,p)`$ becomes infinite as $`p\mathrm{}`$ for each $`N`$.

###### Lemma 5.8

We have

$$\underset{p+\mathrm{}}{lim}S(N,p)=+\mathrm{},N,𝔔_{𝐤_1,𝐤_2}a.s.$$
(5.69)
Proof. The conclusion of the lemma is a consequence of the uniform continuity of paths of the diffusion on any finite time interval $`[0,T]`$, which implies that

$$\underset{p+\mathrm{}}{lim}\underset{t_k^{(p)}[0,T]}{\mathrm{min}}\underset{t[t_k^{(p)},t_{k+1}^{(p)}]}{\mathrm{min}}\widehat{K}_j(t)\widehat{K}_j(t_k^{(p)})=1,j=1,2.$$

Our next lemma shows that $`V(p,q)`$ becomes infinite with $`p,q+\mathrm{}`$.

###### Lemma 5.9

Suppose that $`N`$ is as in $`(\text{5.3})`$ and $`T_1,\eta >0`$ are arbitrary. Then, one can find $`p_0,q_0`$ such that

$$𝔔_{𝐤_1,𝐤_2}[S(N,p)V(p,q)T_1]<\eta ,pp_0,qq_0.$$
(5.70)
In order to prove this lemma we will need an auxiliary property of $`(K_1(),Y_1())`$. Let $`k_1=|𝐤_1|`$. Note that the process $`(K_1(),Y_1())`$ is a diffusion on $`^d\times ^d`$, actually supported on $`S_{k_1}^{d1}(\mathrm{𝟎})\times ^d`$, over $`(𝒯_1,𝔔_{𝐤_1})`$. Its generator is given by

$$𝒩(𝐤,𝐱):=F(𝐤,𝐱)+\widehat{𝐤}_𝐱F(𝐤,𝐱).$$

We denote by $`P(t,𝐤,𝐱;)`$ its transition probability. It satisfies the Fokker-Planck equation

$$\underset{0}{\overset{+\mathrm{}}{}}\underset{^d}{}\underset{^d}{}(_t𝒩)\phi (t,𝐤^{},𝐲)P(t,𝐤,𝐱;dt,d𝐤^{},d𝐲)=0,\phi C_0^{\mathrm{}}((0,+\mathrm{})\times ^d\times ^d).$$
(5.71)
###### Lemma 5.10

Let $`t>0`$, $`(𝐤,𝐱)S_k^{d1}\times ^d`$ ($`k=|𝐤|`$). Then, $`P(t,𝐤,𝐱;)`$ is absolutely continuous with respect to the Lebesgue measure on $`S_k^{d1}\times ^d`$, with the transition probability density $`p(t,𝐤,𝐱,,)`$ that is a $`C^{\mathrm{}}`$-function. In particular, for any $`T,K,\eta >0`$ there exists a constant $`C>0`$ such that

$$\underset{t[\eta ,T]}{\mathrm{max}}\underset{(𝐤,𝐱)S_k^{d1}\times \overline{B}_K(\mathrm{𝟎})}{\mathrm{max}}P(t,𝐤,𝐱;S^{d1}\times A)C|A|$$
(5.72)
for any $`A\overline{B}_K(\mathrm{𝟎})`$ and $`A(^d)`$.

Proof. Let $`k:=|𝐤|`$ and $`S_i^{(\pm )}:B_k^{d1}(\mathrm{𝟎})S^{d1}`$ be given by

$$S_i^{(\pm )}(𝐥):=\underset{i\text{-th component}}{\underset{}{(l_1,\mathrm{},\pm \sqrt{k^2l^2},\mathrm{},l_{d1})}},𝐥=(l_1,\mathrm{},l_{d1})B_k^{d1}(\mathrm{𝟎}),l:=|𝐥|.$$

Define the measure $`P_i^{(\pm )}(t,B\times A):=P(t,𝐤,𝐱;S_i^{(\pm )}(B)\times A)`$, $`A(^d)`$, $`B(B_k^{d1}(\mathrm{𝟎}))`$. The conclusion of the lemma holds if we can show that each measure $`P_i`$ possesses a $`C^{\mathrm{}}`$ smooth density. In what follows we consider only the case $`i=d`$ and denote $`S:=S_d^{(+)}`$, $`P_S:=P_d^{(+)}`$. Note that the respective measure satisfies the equation

$$(_t\stackrel{~}{𝒩}^{})P_S(t,)=0$$

in the distribution sense, with

$$\stackrel{~}{𝒩}F(𝐥,𝐱):=k^2\underset{p,q=1}{\overset{d1}{}}\stackrel{~}{D}_{p,q}(𝐥)_{l_p,l_q}^2F(𝐥,𝐱)+k\underset{p=1}{\overset{d1}{}}\stackrel{~}{E}_p(𝐥)_{l_p}F(𝐥,𝐱)$$

$$+\frac{1}{k}\underset{p=1}{\overset{d1}{}}l_p_{x_p}F(𝐤,𝐱)+\sqrt{1\left(\frac{l}{k}\right)^2}_{x_d}F(𝐤,𝐱),$$

where $`\stackrel{~}{D}_{p,q}(𝐥)=D_{p,q}(k^1𝐥,k^1\sqrt{k^2l^2})`$, $`\stackrel{~}{E}_p(𝐥)=E_p(k^1𝐥,k^1\sqrt{k^2l^2})`$. It suffices therefore to prove that $`_t\stackrel{~}{𝒩}^{}`$ is hypoelliptic in order to prove the Lemma. Note that

$$(_t\stackrel{~}{𝒩}^{})F=\underset{p=1}{\overset{d}{}}X_p^2F+X_0F+a(𝐥)F,FC_0^{\mathrm{}}(B_k^{d1})$$

where

$`X_p(𝐥):=k{\displaystyle \underset{q=1}{\overset{d1}{}}}\widehat{D}_{p,q}^{1/2}(𝐥)_{l_q},p=1,\mathrm{},d1,`$
$`X_0(𝐥):=_t{\displaystyle \frac{1}{k}}{\displaystyle \underset{q=1}{\overset{d1}{}}}l_q_{x_q}\sqrt{1\left({\displaystyle \frac{l}{k}}\right)^2}_{x_d}+{\displaystyle \underset{q=1}{\overset{d1}{}}}a_q(𝐥)_{l_q}`$
and $`a()`$, $`a_p()`$, $`p=1,\mathrm{},d1`$ are $`C^{\mathrm{}}`$-smooth functions. It suffices therefore to prove that for any $`(t,𝐥,𝐱)\times S^{d1}\times ^d`$ the linear subspace $`𝔏_{t,𝐥,𝐱}`$ of the tangent space to $`\times S^{d1}\times ^d`$, spanned by the vector fields belonging to the Lie algebra $`𝔏`$ generated by $`X_0,X_1,\mathrm{},X_d`$, is of dimension $`2d`$. The $`(d1)\times (d1)`$ matrix $`\stackrel{~}{𝐃}():=[\stackrel{~}{D}_{p,q}(𝐥)]`$, as well as $`\stackrel{~}{𝐃}^{1/2}()`$, is non-degenerate in $`B_k^{d1}(\mathrm{𝟎})`$ due to Proposition 4.3 (actually it degenerates in the limit when $`𝒍`$ approaches $`B_k^{d1}(\mathrm{𝟎})`$). Hence the vectors $`_{l_p}𝔏_{t,𝐥,𝐱}`$, $`p=1,\mathrm{},d1`$.

Note also that

$$[X_0,X_p]=\underset{q=1}{\overset{d1}{}}\widehat{D}_{p,q}^{1/2}(𝐥)\left(_{x_q}+\frac{l_q}{\sqrt{k^2l^2}}_{x_d}\right)+\underset{q=1}{\overset{d1}{}}b_q(𝐥)_{l_q},$$

where $`b_p()`$, $`p=1,\mathrm{},d1`$ are $`C^{\mathrm{}}`$-smooth functions. Hence, $`_{x_q}+l_q(k^2l^2)^{1/2}_{x_d}𝔏_{t,𝐥,𝐱}`$, $`q=1,\mathrm{},d1`$. Furthermore,

$`{\displaystyle \underset{p=1}{\overset{d1}{}}}[[X_0,X_p],X_p]=k\left[\text{tr}\stackrel{~}{𝐃}(𝐥)+(\stackrel{~}{𝐃}(𝐥)𝐥,𝐥)_^d(k^2l^2)^1\right](k^2l^2)^{1/2}_{x_d}`$
$`+{\displaystyle \underset{q=1}{\overset{d1}{}}}d_q(𝐥)\left(_{x_q}+{\displaystyle \frac{l_q}{\sqrt{k^2l^2}}}_{x_d}\right)+{\displaystyle \underset{q=1}{\overset{d1}{}}}c_q(𝐥)_{l_q},`$
where $`c_p(),d_p()`$, $`p=1,\mathrm{},d1`$ are $`C^{\mathrm{}}`$-smooth functions. We can conclude therefore that $`_{x_d}𝔏_{t,𝐥,𝐱}`$, hence also $`_{x_p}𝔏_{t,𝐥,𝐱}`$, $`p=1,\mathrm{},d1`$ and finally we also get $`_t𝔏_{t,𝐥,𝐱}`$, so that the proof of Lemma 5.10 is complete.

Proof of Lemma 5.9. Let

$$A(N,p):=[S(N,p)T_1+1].$$

Choose $`p`$ sufficiently large so that

$$𝔔_{𝐤_1,𝐤_2}[A(N,p)]1\eta /2.$$

This can be done thanks to the continuity property of diffusion paths. For any $`(K_1(),K_2())A(N,p)`$ we have

$$\left|Y_1\left(\frac{1}{p}\right)Y_2\left(\rho \right)\right|\lambda _N(p),\text{ and }\left|Y_2\left(\frac{1}{p}\right)Y_1\left(\rho \right)\right|\lambda _N(p)$$
(5.73)
for all $`\rho [0,1/p]`$, according to (5.4) (see (5.62) for the definition of $`Y_i()`$, $`i=1,2`$ ). Recall also that $`𝔜_t^{(i)}(K_i)`$, $`i=1,2`$ are defined by (5.68).

Let $`V^{(1)}(p,q;K):=\underset{n+\mathrm{}}{lim}V_n^{(1)}(p,q;K)`$, where

$$V_n^{(1)}(p,q;K):=inf\{t\frac{1}{p}:\text{ dist}(Y_1(t),𝔜_t^{(2)})<\frac{1}{q}+\frac{1}{n}\}$$

and likewise we introduce $`V^{(2)}(p,q;K):=\underset{n+\mathrm{}}{lim}V_n^{(2)}(q;K)`$, with

$$V_n^{(2)}(p,q;K):=inf\{t\frac{1}{p}:\text{ dist}(Y_2(t),𝔜_t^{(1)})<\frac{1}{q}+\frac{1}{n}\}$$

Note that $`V(p,q;K):=V^{(1)}(p,q;K)V^{(2)}(p,q;K)`$.

The conclusion of Lemma 5.9 is then a consequence of the following.

###### Lemma 5.11

For any $`N`$ sufficiently large so that $`(\text{5.3})`$ holds and $`p1`$ we have

$$\underset{q+\mathrm{}}{lim}V^{(i)}(p,q;K)=+\mathrm{}𝔔_{𝐤_1,𝐤_2}a.s.\text{ on }A(N,p),𝐤_1,𝐤_2\mathrm{𝟎},i=1,2.$$
(5.74)
Proof. With no loss of generality we assume that $`i=1`$. Note that obviously

$$V^{(1)}(p,q^{};K)V^{(1)}(p,q;K)\text{ for }q^{}q\text{ and all }K𝒞_2(k_1,k_2).$$

For any $`K_2`$ we denote by

$$A(N,p;K_2):=[K_1:(K_1,K_2)A(N,p)].$$

It suffices to show that for $`𝔔_{𝐤_2}`$–a.s. $`K_2`$ we have

$$\underset{q+\mathrm{}}{lim}V^{(1)}(p,q;K_1,K_2)=+\mathrm{},𝔔_{𝐤_1}a.s.\text{ on }A(N,p;K_2).$$

Let us denote

$$B(t,𝐱;K_2):=[K_1:|Y_1(t;𝐱)Y_2(\rho )|\lambda _N(p),\rho [0,1/p]].$$

Note that $`A(N,p;K_2)B(\frac{1}{p},\mathrm{𝟎};K_2)`$, according to (5.73).

Let $`T_1>0`$ be arbitrary. We show that

$$\underset{q+\mathrm{}}{lim}𝔔_{𝐤_1}\left[V^{(1)}(p,q;,K_2)T_1,B(\frac{1}{p},\mathrm{𝟎};K_2)\right]=0,𝔔_{𝐤_2}\text{a.s. in }K_2.$$
(5.75)
The expression under the limit in (5.75) can be estimated by

$$𝔔_{𝐤_1}\left[\underset{u[0,T_1]}{inf}\text{dist }(Y_1(u),𝔜_{T_1}^{(2)})\frac{1}{q},B(\frac{1}{p},\mathrm{𝟎};K_2)\right]$$

$$=\underset{S_{k_1}^{d1}\times [1/p|𝐱|\lambda _n(p)]}{}P(\frac{1}{p},𝐤_1,\mathrm{𝟎},d𝐤,d𝐱)𝔔_𝐤\left[\underset{u[0,T_11/p]}{inf}\text{dist }(Y_1(u;𝐱),𝔜_{T_1}^{(2)})\frac{1}{q},B(0,𝐱;K_2)\right].$$

Here we used the Markov property of the process $`(K_1,Y_1)`$. (5.75) follows if we can show that

$$\underset{q+\mathrm{}}{lim}𝔔_𝐤\left[\underset{u[0,T_11/p]}{inf}\text{dist }(Y_1(u;𝐱),𝔜_{T_1}^{(2)})\frac{1}{q}\right]=0$$
(5.76)
for every $`𝐤S_{k_1}^{d1}`$ and $`𝐱`$ satisfying $`1/p|𝐱|\lambda _N(p)`$, $`𝔔_{𝐤_2}\text{a.s. in }K_2`$.

Suppose first that $`\eta _1:=\frac{1}{2}\text{dist}(𝐱,𝔜_{T_1}^{(2)})>0`$. Then,

$$𝔔_𝐤\left[\underset{0u\eta _1}{inf}\text{dist}(Y_1(u;𝐱),𝔜_{T_1}^{(2)})\frac{1}{q}\right]=1,q4\eta ^1.$$
(5.77)
Note that the expression under the limit on the left hand side of (5.76) can be estimated by

$$𝔔_𝐤\left[\underset{\eta _1j/qT_1}{inf}\text{dist}(Y_1(j/q;𝐱),𝔜_{T_1}^{(2)})\frac{2}{q}\right]$$
(5.78)
$$(T_1+1)q\underset{\eta _1j/qT_1}{\mathrm{max}}𝔔_𝐤\left[Y_1(j/q;𝐱)B_{2/q}(𝔜_{T_1}^{(2)})\right].$$

The right hand side of (5.78) can be estimated, with the help of Lemma 5.10, by

$$C(\eta _1)(T_1+1)q^{2d},q4\eta _1^1$$

(recall that $`Y_2()`$ is of $`C^1`$-class, with $`|Y_2^{}()|1`$) and (5.75) follows, provided we can prove that

$$𝔔_{𝐤_2}\left[\text{dist}(𝐱,𝔜_{T_1}^{(2)})=0\right]=0$$
(5.79)
for $`1/p|𝐱|\lambda _N(p)`$ Recall that $`|𝐱Y_2(\rho )|\lambda _N(p)`$, $`\rho [0,1/p]`$. For any $`\rho >0`$ we can estimate therefore the left hand side of (5.79) by

$$\frac{T_1+1}{\rho }\underset{1/pj\rho T_1}{\mathrm{max}}𝔔_{𝐤_2}\left[|Y_2(j\rho )𝐱|2\rho \right]C(p)(T_1+1)\rho ^{d1}$$

for some constant $`C(p)>0`$ depending only on $`p`$. Since the last inequality holds for all $`\rho >0`$ we conclude (5.79).

An immediate consequence of Lemmas 5.6, 5.7 and 5.9 is the following.

###### Corollary 5.12

For any $`M,\epsilon >0`$ there exist find sufficiently large $`p,q`$ and $`N`$ so that

$$𝔔_{𝐤_1,𝐤_2}[B(M,N,p,q)]<\epsilon .$$

Choose any $`T_0>0`$ and $`F`$ a bounded and continuous functional over $`𝒞_2`$ that is $`_2^{0,T_0}`$-measurable. We show that

$$\underset{\delta 0}{lim\; sup}𝔼\left[F(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())\right]F(K())𝔔_{𝐤_1,𝐤_2}(dK).$$
(5.80)
This, in fact, implies weak convergence of the laws of $`(𝒌_1^{(\delta )}(),𝒌_2^{(\delta )}())`$ over $`𝒞_2`$, as $`\delta 0`$.

Fix $`\eta >0`$ and choose $`M>0`$ such that $`M1`$ satisfies (5.1). Then, by virtue of Lemma 5.6

$$𝔔_{𝐤_1,𝐤_2}[T(M1)T_0]=0.$$
(5.81)
Let $`p,q`$ be such that

$$𝔔_{𝐤_1,𝐤_2}[B(M,N,p,q)]\eta .$$
(5.82)
Note that $`\overline{B}(M1,N1,p,q1)B(M,N,p,q)`$.

Let $`\delta _n0`$, then we can choose a subsequence, that we still denote as $`(\delta _n)`$, such that the laws of $`(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}())`$ converge over $`𝒞_2`$, as $`n+\mathrm{}`$, to a certain $`Q(;M,N,p,q)`$. We have

$`\underset{n+\mathrm{}}{lim\; sup}𝔼\left[F(𝒌_1^{(\delta _n)}(),𝒌_2^{(\delta _n)}())\right]`$ (5.83)
$`\underset{n+\mathrm{}}{lim\; sup}𝔼\left[F(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}());W(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1,N1,p,q1)>T_0\right]`$
$`+\underset{n+\mathrm{}}{lim\; sup}\left|𝔼\left[F(𝒌_1^{(\delta _n)}(),𝒌_2^{(\delta _n)}());W(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1,N1,p,q1)T_0\right]\right|.`$
The second term on the right hand side of (5.83) can be estimated by

$$F_L^{\mathrm{}}\left(\underset{n+\mathrm{}}{lim\; sup}\left[T(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1)T_0\right]+𝔔_{𝐤_1,𝐤_2}\left[\overline{B}(M1,N1,p,q1)\right]\right)$$
(5.84)
Note also that

$`\underset{n+\mathrm{}}{lim\; sup}\left|\left[T(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1)>T_0\right]\left[W(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1,N1,p,q1)>T_0\right]\right|`$
$`\underset{n+\mathrm{}}{lim\; sup}\left[(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}())\overline{B}(M1,N1,p,q1)\right]`$ (5.85)
$`𝔔_{𝐤_1,𝐤_2}\left[\overline{B}(M1,N1,p,q1)\right]\eta `$
and hence

$`\underset{n+\mathrm{}}{lim\; sup}\left[T(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1)T_0\right]`$ (5.86)
$`=1\underset{n+\mathrm{}}{lim\; inf}\left[T(𝒍_1^{(\delta _n)}(),𝒍_2^{(\delta _n)}();M1)>T_0\right]𝔔_{𝐤_1,𝐤_2}\left[W(K;M1,N1,p,q1)T_0\right]+\eta .`$
The first expression on the utmost right hand side of (5.86) is less than or equal to

$$𝔔_{𝐤_1,𝐤_2}\left[T(K;M1)T_0\right]+𝔔_{𝐤_1,𝐤_2}\left[\overline{B}(M1,N1,p,q1)\right]\eta $$
(5.87)
according to (5.81) and (5.82). Summarizing, the expression in (5.84) can be estimated by $`2\eta F_L^{\mathrm{}}`$

The first term on the right hand side of (5.83) can be estimated by

$$F(K())\mathrm{𝟏}_{[W(K;M,N,p,q)>T_0]}𝔔_{𝐤_1,𝐤_2}(dK)F(K())𝔔_{𝐤_1,𝐤_2}(dK)$$

$$+F_L^{\mathrm{}}𝔔_{𝐤_1,𝐤_2}[W(K;M,N,p,q)T_0]F(K())𝔔_{𝐤_1,𝐤_2}(dK)+2\eta F_L^{\mathrm{}}.$$

The last estimate follows from an analogous estimate to (5.87). Summarizing, since $`\eta >0`$ is arbitrary we conclude (5.80).

## Appendix A Proof of Lemma 2.3

We define

$$d_\epsilon ^\delta (𝝃,𝐱_0)=𝐯_\epsilon ^{\delta ,B}\stackrel{~}{𝐯}_\epsilon ^{\delta ,B}=e^{i𝐤(𝝃𝐲)}\left[W_\epsilon ^\delta (𝐱_0+\frac{\epsilon (𝝃+𝐲)}{2},𝐤)W_\epsilon ^\delta (𝐱_0,𝐤)\right]\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐤d𝐲}{(2\pi )^d}$$
(A.1)
and split $`d_\epsilon ^\beta =_{j=1}^3d_\epsilon ^{\delta ,j}`$ according to the decomposition

$`W_\epsilon ^\delta (𝐱_0+{\displaystyle \frac{\epsilon (𝝃+𝐲)}{2}},𝐤)W_\epsilon ^\delta (𝐱_0,𝐤)=\left(W_\epsilon ^\delta (𝐱_0+{\displaystyle \frac{\epsilon (𝝃+𝐲)}{2}},𝐤)U^\delta (𝐱_0+{\displaystyle \frac{\epsilon (𝝃+𝐲)}{2}},𝐤)\right)`$
$`+\left(U^\delta (𝐱_0+{\displaystyle \frac{\epsilon (𝝃+𝐲)}{2}},𝐤)U^\delta (𝐱_0,𝐤)\right)+\left(U^\delta (𝐱_0,𝐤)W_\epsilon ^\delta (𝐱_0,𝐤)\right).`$
Here $`U^\delta =u_q^\delta \mathrm{\Pi }_q`$ is the semi-classical approximation of $`W_\epsilon ^\delta `$, with $`u_q^\delta `$ the solutions of the Liouville equations. The last term may be estimated as

$`{\displaystyle d_\epsilon ^{\delta ,3}(𝝃,𝐱_0)^2𝑑𝐱_0}`$ $``$ $`{\displaystyle e^{i𝐤𝝃}[U^\delta (𝐱_0,𝐤)W_\epsilon ^\delta (𝐱_0,𝐤)]\mathrm{\Gamma }_0\widehat{𝐒}_0(𝐤)\frac{d𝐤}{(2\pi )^d}^2𝑑𝐱_0}`$
$``$ $`C𝐒_0_{L^2}^2{\displaystyle U^\delta (𝐱_0,𝐤)W_\epsilon ^\delta (𝐱_0,𝐤)^2𝑑𝐱_0𝑑𝐤}0`$
as $`𝒦_\mu (\epsilon ,\delta )0`$ with $`C`$ independent of $`\xi `$. The Fourier transform of the first term in $`𝐱_0`$ is

$`\widehat{d}_\epsilon ^{\delta ,1}(𝝃;𝐩)={\displaystyle e^{i𝐩𝐱_0+i𝐤(𝝃𝐲)}f_\epsilon ^\delta (𝐱_0+\frac{\epsilon (𝝃+𝐲)}{2},𝐤)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐲d𝐤d𝐱_0}{(2\pi )^d}}`$
$`={\displaystyle e^{i𝐤(𝝃𝐲)+i\epsilon 𝐩(𝝃+𝐲)/2}\widehat{f}_\epsilon ^\delta (𝐩,𝐤)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐲d𝐤}{(2\pi )^d}}={\displaystyle e^{i(𝐤+\epsilon 𝐩/2)𝝃}\widehat{f}_\epsilon ^\delta (𝐩,𝐤)\mathrm{\Gamma }_0\widehat{𝐒}_0(𝐤\frac{\epsilon 𝐩}{2})\frac{d𝐤}{(2\pi )^d}},`$
where $`f_\epsilon ^\delta (𝐱,𝐤)=W_\epsilon ^\delta (𝐱,𝐤)U^\delta (𝐱,𝐤)`$. Therefore we have using the Cauchy-Schwartz inequality

$`{\displaystyle \widehat{d}_\epsilon ^{\delta ,1}(𝝃;𝐩)^2𝑑𝐩}C𝐒_0_{L^2}f_\epsilon ^\delta _{L^2}0`$
as $`𝒦_\mu (\epsilon ,\delta )0`$ with $`C`$ independent of $`\xi `$. Finally, the Fourier transform of $`d_\epsilon ^{\delta ,2}`$ is

$`\widehat{d}_\epsilon ^{\delta ,2}(𝝃;𝐩)`$ $`=`$ $`{\displaystyle e^{i𝐩𝐱_0+i𝐤(𝝃𝐲)}[U^\delta (𝐱_0+\frac{\epsilon (𝝃+𝐲)}{2},𝐤)U^\delta (𝐱_0,𝐤)]\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐲d𝐤d𝐱_0}{(2\pi )^d}}`$
$`=`$ $`{\displaystyle e^{i𝐤(𝝃𝐲)}\left[e^{i\epsilon 𝐩(𝝃+𝐲)/2}1\right]\widehat{U}^\delta (𝐩,𝐤)\mathrm{\Gamma }_0𝐒_0(𝐲)\frac{d𝐲d𝐤}{(2\pi )^d}}`$
$`=`$ $`{\displaystyle e^{i𝐤𝝃}\widehat{U}^\delta (𝐩,𝐤)\mathrm{\Gamma }_0\left[e^{i\epsilon 𝐩𝝃/2}\widehat{𝐒}_0(𝐤\frac{\epsilon 𝐩}{2})\widehat{𝐒}_0(𝐤)\right]\frac{d𝐤}{(2\pi )^d}}.`$
We write $`e^{i\epsilon 𝐩𝝃/2}=(e^{i\epsilon 𝐩𝝃/2}1)+1`$ and decompose $`\widehat{d}_\epsilon ^{\delta ,2}(𝝃;𝐩)`$ as $`I_1(𝝃;𝐩)+I_2(𝝃;𝐩)`$ accordingly. We have for the second term

$`{\displaystyle I_2(𝝃;𝐩)^2𝑑𝐩}C{\displaystyle \left(\widehat{U}^\delta (𝐩,𝐤)\widehat{𝐒}_0(𝐤\frac{\epsilon 𝐩}{2})\widehat{𝐒}_0(𝐤)\frac{d𝐤}{(2\pi )^d}\right)^2𝑑𝐩}`$
$`C{\displaystyle \left(\widehat{U}^\delta (𝐩,𝐤)^2𝑑𝐤\right)\left(\widehat{𝐒}_0(𝐥\frac{\epsilon 𝐩}{2})\widehat{𝐒}_0(𝐥)^2𝑑𝐥\right)𝑑𝐩}.`$
Note that

$$\widehat{𝐒}_0(𝐥\frac{\epsilon 𝐩}{2})\widehat{𝐒}_0(𝐥)^2𝑑𝐥\epsilon ^2𝐩^2\left(_0^1𝐒_0(𝐥\epsilon 𝐩s)^2𝑑s\right)𝑑𝐥\epsilon ^2𝐩^2𝐒_0_{L^2}^2$$

and hence

$`{\displaystyle I_2(𝝃;𝐩)^2𝑑𝐩}\epsilon ^2𝐒_0_{L^2}^2U^\delta _{H^1}^20`$
as $`𝒦_\mu (\epsilon ,\delta )0`$ according to Lemma 3.6. It remains to bound the $`L^2`$ norm of $`I_1(𝐩;𝝃)`$. We derive two estimates according as $`\xi `$ is small or large. The first estimate is

$$\begin{array}{ccc}\hfill |I_1(𝝃;𝐩)|& & Ce^{i𝐤𝝃}|\widehat{U}^\delta (𝐩,𝐤)|\epsilon |𝐩𝝃||\widehat{𝐒}_0(𝐤\frac{\epsilon 𝐩}{2})|\frac{d𝐤}{(2\pi )^d}\hfill \\ & & C\epsilon |\xi |\widehat{U}^\delta (𝐩,𝐤)_{L_𝐤^2(𝐩)|𝐩|}𝐒_0_2,\hfill \end{array}$$

so that

$$|I_1(𝝃;𝐩)|^2𝑑𝐩\epsilon ^2|𝝃|^2U^\delta (𝐩,𝐤)_{H^1(_𝐱^d;L^2(_𝐤^d))}^2𝐒_0_2^2.$$

At the same time using integrations by parts we get

$$I_1(𝝃;𝐩)=\frac{i}{|𝝃|}e^{i𝐤𝝃}\widehat{𝝃}_𝐤\left(\widehat{U}^\delta (𝐩,𝐤)\mathrm{\Gamma }_0\widehat{𝐒}_0(𝐤\frac{\epsilon 𝐩}{2})\right)(e^{i\epsilon 𝐩𝝃/2}1)\frac{d𝐤}{(2\pi )^d}.$$

This shows that

$$|I_1(𝝃;𝐩)|^2𝑑𝐩\frac{C}{|𝝃|^2}U_{L^2(_𝐱^d;H^1(_𝐤^d))}^2(1+|𝐱|^2)^{1/2}𝐒_0_2^2.$$

With these estimates, we obtain that

$$|I_1(𝝃;𝐩)|^2𝑑𝐩C\mathrm{min}(h_\epsilon ^\delta |𝝃|^2,|𝝃|^2)$$

with $`h_\epsilon ^\delta 0`$ as $`𝒦_\mu (\epsilon ,\delta )0`$. This implies that $`|I_1(𝝃;𝐩)|^2𝑑𝐩0`$, hence $`|\widehat{d}_\epsilon ^{\delta ,2}(𝝃;𝐩)|^2𝑑𝐩0`$ as $`𝒦_\mu (\epsilon ,\delta )0`$ uniformly with respect to $`𝝃^d`$ and concludes the proof of Lemma 2.3.

## Appendix B Proof of Lemma 3.3

We may recast (1.5) as

$$\frac{𝐯_\epsilon ^\delta }{t}+c_\delta (𝐱)D^j\frac{𝐯}{x^j}+\frac{c_\delta }{x^j}\left[𝐞_j𝐞_{d+1}\right]𝐯_\epsilon ^\delta =0.$$
(B.1)
Thanks to calculations of the form (3.10), this is equivalent to the equation

$`\epsilon {\displaystyle \frac{𝐯_\epsilon ^\delta }{t}}+P_\epsilon ^{\delta ,W}(𝐱,\epsilon D_𝐱)𝐯_\epsilon ^\delta =0,`$ (B.2)
where the symbol $`P_\epsilon ^\delta `$ is given by (3.8). We recall that the pseudo-differential Weyl operator $`P^W(𝐱,\epsilon D)`$ associated to a symbol $`P(𝐱,𝐤)`$ is defined by Weyl’s quantization rule

$$P^W(𝐱,\epsilon D_𝐱)u=_{^{2d}}e^{i(𝐱𝐲)𝐤}P(\frac{𝐱+𝐲}{2},\epsilon 𝐤)u(𝒚)\frac{d𝐲d𝐤}{(2\pi )^d}.$$
(B.3)
The fact that (B.2) is equivalent to (B.1) is verified by a straightforward calculation:

$`P_0^{\delta ,W}(𝐱,\epsilon D)𝐯_\epsilon ^\delta (𝐱)={\displaystyle e^{i(𝐱𝐲)𝝃}P_0^\delta (\frac{𝐱+𝐲}{2},\epsilon 𝝃)𝐯_\epsilon ^\delta (𝐲)\frac{d𝝃d𝐲}{(2\pi )^d}}`$
$`=i\epsilon {\displaystyle e^{i(𝐱𝐲)𝝃}c_\delta \left(\frac{𝐱+𝐲}{2}\right)D^j\xi _j𝐯_\epsilon ^\delta (𝐲)\frac{d𝝃d𝐲}{(2\pi )^d}}=\epsilon {\displaystyle c_\delta \left(\frac{𝐱+𝐲}{2}\right)D^j𝐯_\epsilon ^\delta (𝐲)\left(\frac{}{y_j}\delta (𝐱𝐲)\right)𝑑𝐲}`$
$`=\epsilon {\displaystyle \frac{}{y_j}}\left[c_\delta \left({\displaystyle \frac{𝐱+𝐲}{2}}\right)D^j𝐯_\epsilon ^\delta (𝐲)\right]|_{𝐲=𝐱}=\epsilon c_\delta (𝐱)D^j{\displaystyle \frac{𝐯_\epsilon ^\delta (𝐱)}{x_j}}+{\displaystyle \frac{\epsilon }{2}}{\displaystyle \frac{c_\delta (𝐱)}{x_j}}D^j𝐯_\epsilon ^\delta (𝐱)`$
$`=\epsilon {\displaystyle \frac{𝐯_\epsilon ^\delta }{t}}+{\displaystyle \frac{\epsilon }{2}}{\displaystyle \frac{c_\delta (𝐱)}{x_j}}[𝐞_j𝐞_{d+1}+𝐞_{d+1}𝐞_j]𝐯_\epsilon ^\delta =\epsilon {\displaystyle \frac{𝐯_\epsilon ^\delta }{t}}\epsilon P_1^\delta (𝐱)𝐯_\epsilon ^\delta (𝐱)`$
and now (B.2) follows because $`P_1^{\delta ,W}(𝐱)𝐯_\epsilon ^\delta (𝐱)=P_1^\delta (𝐱)𝐯_\epsilon ^\delta (𝐱)`$ since $`P_1^\delta (𝐱)`$ is independent of $`𝐤`$.

The associated Cauchy problem for the Wigner transform $`\stackrel{~}{W}_\epsilon ^\delta `$ with a fixed $`\zeta `$ is given by

$$\begin{array}{c}\epsilon \frac{\stackrel{~}{W}_\epsilon ^\delta }{t}+\stackrel{~}{W}[P_\epsilon ^{\delta ,W}(𝐱,\epsilon D_𝐱)𝐯_\epsilon ^\delta ,𝐯_\epsilon ^\delta ]+\stackrel{~}{W}[𝐯_\epsilon ^\delta ,P_\epsilon ^{\delta ,W}(𝐱,\epsilon D_𝐱)𝐯_\epsilon ^\delta ]=0\hfill \\ \stackrel{~}{W}_\epsilon ^\delta (0,𝐱,𝐤))=\stackrel{~}{W}_\epsilon ^\delta (0,𝐱,𝐤;\zeta ),\hfill \end{array}$$
(B.4)
where the Wigner transform of two different fields is defined by

$$\stackrel{~}{W}[\varphi _\epsilon ,\psi _\epsilon ](𝐱,𝐤)=_^de^{i𝐤𝐲}\varphi _\epsilon (𝐱\frac{\epsilon 𝐲}{2})\psi _\epsilon ^{}(𝐱+\frac{\epsilon 𝐲}{2})\frac{d𝐲}{(2\pi )^d}.$$
(B.5)
We deduce from the definitions of $`\stackrel{~}{W}_\epsilon `$ and $`P_\epsilon ^W`$ that

$`\stackrel{~}{W}[P_\epsilon ^{\delta ,W}(𝐱,\epsilon D_𝐱)𝐯_\epsilon ^\delta ,𝐯_\epsilon ^\delta ](𝐱,𝐤)`$
$`={\displaystyle e^{i𝐤𝐲}(P_\epsilon ^W(𝐱,\epsilon D_𝐱)𝐯_\epsilon ^\delta )(𝐱\frac{\epsilon 𝐲}{2})𝐯_\epsilon ^\delta (𝐱+\frac{\epsilon 𝐲}{2})\frac{d𝐲}{(2\pi )^d}}`$
$`={\displaystyle e^{i𝐤𝐲}e^{i(𝐱\frac{\epsilon 𝐲}{2}𝐳)𝐪}P_\epsilon ^\delta (\frac{𝐱\frac{\epsilon 𝐲}{2}+𝐳}{2},\epsilon 𝐪)𝐯_\epsilon ^\delta (𝐳)𝐯_\epsilon ^\delta (𝐱+\frac{\epsilon 𝐲}{2})\frac{d𝐲d𝐳d𝐪}{(2\pi )^{2d}}}`$
$`={\displaystyle e^{i𝐤𝐲}e^{i(𝐱\frac{\epsilon 𝐲}{2}𝐳)𝐪}P_\epsilon ^\delta (\frac{𝐱\frac{\epsilon 𝐲}{2}+𝐳}{2},\epsilon 𝐪)e^{i\frac{𝐩}{\epsilon }(𝐱+\frac{\epsilon 𝐲}{2}𝐳)}W_\epsilon ^\delta (\frac{𝐱+\frac{\epsilon 𝐲}{2}+𝐳}{2},𝐩)\frac{d𝐩d𝐲d𝐳d𝐪}{(2\pi )^{2d}}}`$ (B.6)
$`={\displaystyle e^{i𝐲(𝐤𝐩)}e^{i2(𝐱𝐳)(𝐪𝐩/\epsilon )}P_\epsilon ^\delta (𝐳\frac{\epsilon 𝐲}{2},\epsilon 𝐪)W_\epsilon ^\delta (𝐳,𝐩)\frac{d𝐳d𝐩d𝐲d𝐪}{(\pi \sqrt{2})^{2d}}}`$
$`={\displaystyle P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐳,𝐩)e^{\frac{2i}{\epsilon }((𝐩𝐤)𝐲+(𝐪𝐩)𝐱+(𝐤𝐪)𝐳}\frac{d𝐳d𝐩d𝐲d𝐪}{(\pi \epsilon )^{2d}}}={\displaystyle P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐳,𝐩)e^{i\varphi }\frac{d𝐳d𝐩d𝐲d𝐪}{(\pi \epsilon )^{2d}}}.`$
Moreover, the matrix $`\stackrel{~}{W}_\epsilon ^\delta `$ is self-adjoint, while $`W[f_\epsilon ,g_\epsilon ]=W_\epsilon ^{}[g,f]`$ for any pair of functions $`f`$ and $`g`$, and the symbol $`P_\epsilon `$ is skew-symmetric. Thus (B.6) and (B.4) imply that the pure Wigner transform $`\stackrel{~}{W}_\epsilon `$ satisfies (3.11), and hence so does $`W_\epsilon `$. Moreover, the function $`\varphi `$ satisfies an anti-symmetry relation

$$\varphi (𝐱,𝐳,𝐤,𝐩;𝐲,𝐪)=\varphi (𝐳,𝐱,𝐩,𝐤;𝐲,𝐪).$$

Then, using the fact that $`W_\epsilon `$ is self-adjoint we obtain

$`{\displaystyle _{^{2d}}}\text{Tr}((_\epsilon ^\delta W_\epsilon ^\delta )W_\epsilon ^\delta )𝑑𝐱𝑑𝐤`$
$`={\displaystyle _{^{6d}}}\text{Tr}(P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐳,𝐩)W_\epsilon ^\delta (𝐱,𝐤)e^{i\varphi }W_\epsilon (𝐳,𝐩)P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐱,𝐤)e^{i\varphi }){\displaystyle \frac{d𝐱d𝐤d𝐲d𝐳d𝐩d𝐪}{(\pi \epsilon )^{2d}}}`$
$`={\displaystyle _{^{6d}}}\text{Tr}(P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐳,𝐩)W_\epsilon ^\delta (𝐱,𝐤)e^{i\varphi }P_\epsilon ^\delta (𝐲,𝐪)W_\epsilon ^\delta (𝐳,𝐩)W_\epsilon ^\delta (𝐱,𝐤)e^{i\varphi })=0,`$
where we interchanged $`𝐱𝐳`$ and $`𝐤𝐩`$ in the second term on the last line, and used the anti-symmetry of $`\varphi `$. This implies conservation of the $`L^2`$-norm (3.14). Note that (3.13) follows immediately from (3.11) and the proof of Lemma 3.3 is complete.

## Appendix C Regularity of the Liouville equations

We prove Lemma 3.6 in this Appendix. We recall that the functions $`u_q^\delta `$ satisfy the evolution equations

$`{\displaystyle \frac{u_q^\delta }{t}}+\{\lambda _q^\delta ,u_q^\delta \}=0`$ (C.1)
$`u_q^0=u_q(t=0)=\text{Tr}[\mathrm{\Pi }_qW_0\mathrm{\Pi }_q].`$
These equations can be solved by following the Hamiltonian flow generated by $`\lambda _q^\delta `$. More precisely, let us define for $`T`$, $`𝐱`$, $`𝐤`$ given, the trajectories

$`{\displaystyle \frac{d𝐗(t)}{dt}}`$ $`=`$ $`{\displaystyle \frac{\lambda _q^\delta }{𝐤}}(𝐗(t),𝐊(t)),𝐗(0)=𝐱`$
$`{\displaystyle \frac{d𝐊(t)}{dt}}`$ $`=`$ $`{\displaystyle \frac{\lambda _q^\delta }{𝐱}}(𝐗(t),𝐊(t)),𝐊(0)=𝐤.`$ (C.2)
Then solution of (C.1) is given by

$$u_q^\delta (T,𝐱,𝐤)=u_q^0(𝐗(T,𝐱,𝐤),𝐊(T,𝐱,𝐤)).$$
(C.3)
The flow (4.5) preserves the Hamiltonian $`\lambda _q^\delta (𝐱,𝐤)`$ and the initial data $`u_q^0`$ is supported on a compact set $`S`$. Therefore the set

$$𝒮=\underset{t0,\delta (0,1]}{}\text{supp}u_q^\delta (t,𝐱,𝐤)$$

is compact because the speed $`c_\delta (𝐱)`$ is uniformly bounded from above and below. Furthermore

$$u_q^\delta =D^\delta u_q^0,u_q(t)_{\dot{H}^1}u_q^0_{\dot{H}^1}D^\delta (t)_{\mathrm{}}$$

where $`D^\delta (t,𝐱,𝐤)`$ is the Jacobian matrix, $`D_j^{\delta ,i}=Z_i^\delta /z_j`$, with $`detD^\delta (t)1`$, $`𝐙=(𝐗,𝐊)`$, and $`𝐳=(𝐱,𝐤)`$. To simplify notation, we do not write explicitly the dependence of $`D^\delta `$ and its derivatives with respect to the eigenvalue label $`q`$ in the sequel. Here we define

$$D^\delta _{\mathrm{}}=\underset{(𝐱,𝐤)𝒮}{sup}\left(\text{Tr}[D^\delta (𝐱,𝐤)D^\delta (𝐱,𝐤)]\right)^{1/2}.$$

More generally, given a tensor $`T_{j_1j_2\mathrm{}j_m}`$ we denote

$$T_{\mathrm{}}=\underset{(𝐱,𝐤)𝒮}{sup}\left(\underset{j_1,\mathrm{},j_m}{}|T_{j_1\mathrm{}j_m}|^2\right)^{1/2}.$$

We will also use the matrix norm $`|A|`$ that is dual to the Euclidean norm on $`^d`$ and is equal to the square root of the largest eigenvalue of the matrix $`AA^{}`$, and denote

$$|A|_{\mathrm{}}=\underset{(𝐱,𝐤)𝒮}{sup}|A(𝐱,𝐤)|.$$

Furthermore, we have

$$\frac{^2u_q^\delta }{z_jz_p}=\frac{^2Z_m^\delta }{z_jz_p}\frac{u_q^0}{z_m}+\frac{Z_m^\delta }{z_j}\frac{Z_r^\delta }{z_p}\frac{^2u_q^0}{z_mz_r}$$

so that

$`{\displaystyle \underset{j,p}{}}\left|{\displaystyle \frac{^2u_q^\delta }{z_jz_p}}\right|^22{\displaystyle \frac{^2Z_m^\delta }{z_jz_p}}{\displaystyle \frac{u_q^0}{z_m}}{\displaystyle \frac{^2Z_l^\delta }{z_jz_p}}{\displaystyle \frac{u_q^0}{z_l}}+2{\displaystyle \frac{Z_m^\delta }{z_j}}{\displaystyle \frac{Z_r^\delta }{z_p}}{\displaystyle \frac{^2u_q^0}{z_mz_r}}{\displaystyle \frac{Z_l^\delta }{z_j}}{\displaystyle \frac{Z_s^\delta }{z_p}}{\displaystyle \frac{^2u_q^0}{z_lz_s}}`$
$`2{\displaystyle \underset{m,j,p}{}}\left|{\displaystyle \frac{^2Z_m^\delta }{z_jz_p}}\right|^2u_q^0^2+2{\displaystyle \underset{l,s}{}}\left|{\displaystyle \frac{^2u_q^0}{z_lz_s}}\right|^2{\displaystyle \underset{m,j}{}}|D_{mj}^\delta |^2`$
and hence

$$u_q^\delta (t)_{\dot{H}^2}2u_q^0_{\dot{H}^1}D_2^\delta (t)_{\mathrm{}}+2u_q^0_{\dot{H}^2}D^\delta (t)_{\mathrm{}}^2,$$

with $`D_{2,jl}^{\delta ,m}=^2Z_m^\delta /z_jz_l`$. We observe that

$`{\displaystyle \frac{^3u_q^\delta }{z_jz_pz_s}}={\displaystyle \frac{^3Z_m^\delta }{z_jz_pz_s}}{\displaystyle \frac{u_q^0}{z_m}}+{\displaystyle \frac{^2Z_m^\delta }{z_jz_p}}{\displaystyle \frac{Z_l^\delta }{z_s}}{\displaystyle \frac{^2u_q^0}{z_mz_l}}+{\displaystyle \frac{^2Z_m^\delta }{z_jz_s}}{\displaystyle \frac{Z_r^\delta }{z_p}}{\displaystyle \frac{^2u_q^0}{z_mz_r}}`$
$`+{\displaystyle \frac{Z_m^\delta }{z_j}}{\displaystyle \frac{^2Z_r^\delta }{z_pz_s}}{\displaystyle \frac{^2u_q^0}{z_mz_r}}+{\displaystyle \frac{Z_m^\delta }{z_j}}{\displaystyle \frac{Z_r^\delta }{z_p}}{\displaystyle \frac{Z_l^\delta }{z_s}}{\displaystyle \frac{^3u_q^0}{z_mz_rz_l}}.`$
Therefore we have

$`{\displaystyle \underset{j,p,s}{}}\left|{\displaystyle \frac{^3u_q^\delta }{z_jz_pz_s}}\right|^25{\displaystyle \underset{m,j,p,s}{}}\left|{\displaystyle \frac{^3Z_m}{z_jz_pz_s}}\right|^2u_q^0^2+15D(t)_{\mathrm{}}^2D_2(t)_{\mathrm{}}^2{\displaystyle \underset{m,n}{}}\left|{\displaystyle \frac{^2u_q^0}{z_mz_n}}\right|^2`$
$`+5D(t)_{\mathrm{}}^6{\displaystyle \underset{m,r,l}{}}\left|{\displaystyle \frac{^3u_q^0}{z_mz_rz_l}}\right|^2`$
so that

$$u_q^\delta (t)_{\dot{H}^3}3\left[u_q^0_{\dot{H}^1}D_3^\delta (t)_{\mathrm{}}+3u_q^0_{\dot{H}^2}D_2^\delta (t)_L^{\mathrm{}}D^\delta (t)_{\mathrm{}}+u_q^0_{\dot{H}^3}D^\delta (t)_{\mathrm{}}^3\right]$$

with $`D_{3,jlp}^{\delta ,m}=^3Z_m^\delta /z_jz_lz_p`$.

It thus remains to estimate the matrices $`D^\delta `$, $`D_2^\delta `$, and $`D_3^\delta `$. The matrix $`D^\delta `$ satisfies the differential equation

$$\frac{dD^\delta }{dt}=F^\delta D^\delta ,F^\delta =\left(\begin{array}{cc}\frac{^2\lambda _q^\delta }{k_ix_j}& \frac{^2\lambda _q^\delta }{k_ik_j}\\ \frac{^2\lambda _q^\delta }{x_ix_j}& \frac{^2\lambda _q^\delta }{x_ik_j}\end{array}\right),D^\delta (0)=I.$$

Therefore we have

$`{\displaystyle \frac{d}{dt}}\text{Tr}[D^\delta D^\delta ]=2\text{Tr}[F^\delta D^\delta D^\delta ]=2{\displaystyle F_{il}^\delta D_m^{\delta ,l}D_i^{\delta ,m}}`$
$`2{\displaystyle F_{il}^\delta \left(\underset{k}{}|D_k^{\delta ,l}|^2\right)^{1/2}\left(\underset{p}{}|D_i^{\delta ,p}|^2\right)^{1/2}}2|F|\text{Tr}[D^\delta D^\delta ]`$
so that $`D^\delta (t)_{\mathrm{}}\mathrm{exp}\left(|F^\delta |_{\mathrm{}}t\right)`$ and hence

$$u_q^\delta (t)_{\dot{H}^1}u_q^0_{\dot{H}^1}\mathrm{exp}\left(|F^\delta |_{\mathrm{}}t\right).$$

Differentiating (4.5) once again we obtain

$$\frac{dD_{2,jk}^{\delta ,i}}{dt}=\frac{F_{il}^\delta }{z_m}D_k^{\delta ,m}D_j^{\delta ,l}+F_{il}D_{2,jk}^{\delta ,l},$$

so that along each characteristic

$$\frac{1}{2}\frac{d}{dt}D_2^\delta ^2=\frac{F_{il}^\delta }{z_m}D_k^{\delta ,m}D_j^{\delta ,l}D_{2,jk}^\delta +F_{il}^\delta D_{2,jk}^{\delta ,l}D_{2,jk}^{\delta ,i}F_2^\delta _{\mathrm{}}D^\delta ^2D_2^\delta +|F^\delta |_{\mathrm{}}D_2^\delta ^2,$$

where $`F_{2,ijk}^\delta =F_{ij}^\delta /z_k`$. Furthermore, initially at $`t=0`$ we have $`D_2^\delta (0)=0`$. Therefore we obtain

$$D_2^\delta (t)_L^{\mathrm{}}\frac{F_2^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}\mathrm{exp}(2|F^\delta |_{\mathrm{}}t).$$

and thus

$$u_q^\delta (t)_{\dot{H}^2}2\left(\frac{F_2^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}u_q^0_{\dot{H}^1}+u_q^0_{\dot{H}^2}\right)\mathrm{exp}(2|F^\delta |_{\mathrm{}}t)2\left(\frac{F_2^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}+1\right)u_q^0_{H^2}\mathrm{exp}(2|F^\delta |_{\mathrm{}}t).$$

Similarly, the tensor $`D_3^\delta `$ satisfies the ordinary differential equation

$$\frac{dD_{3,jkm}^{\delta ,i}}{dt}=F_{3,ilnp}^\delta D_m^{\delta ,p}D_k^{\delta ,n}D_j^{\delta ,l}+F_{2,iln}^\delta D_{2,km}^{\delta ,n}D_j^{\delta ,l}+F_{2,iln}^\delta D_k^{\delta ,n}D_{2,jm}^{\delta ,l}+F_{2,iln}^\delta D_m^{\delta ,n}D_{2,jk}^{\delta ,l}+F_{il}^\delta D_{3,jkm}^{\delta ,l}$$

so that along each characteristic

$`{\displaystyle \frac{1}{2}}{\displaystyle \frac{d}{dt}}D_3^\delta ^2=F_{3,ilnp}^\delta D_m^{\delta ,p}D_k^{\delta ,n}D_j^{\delta ,l}D_{3,jkm}^{\delta ,i}+F_{2,iln}^\delta D_{2,km}^{\delta ,n}D_j^{\delta ,l}D_{3,jkm}^{\delta ,i}`$
$`+F_{2,iln}^\delta D_k^{\delta ,n}D_{2,jm}^{\delta ,l}D_{3,jkm}^{\delta ,i}+F_{2,iln}^\delta D_m^{\delta ,n}D_{2,jk}^{\delta ,l}D_{3,jkm}^{\delta ,i}+F_{il}^\delta D_{3,jkm}^{\delta ,l}D_{3,jkm}^{\delta ,i}`$
$`F_3^\delta D^\delta ^3D_3^\delta +3F_2^\delta D^\delta D_2^\delta D_3^\delta +|F^\delta |D_3^\delta ^2,`$
where $`F_{3,ijkn}^\delta =F_{2,ijk}^\delta /z_n`$, and at $`t=0`$ we have $`D_3(0)=0`$. Therefore we obtain

$$D_3^\delta (t)_{\mathrm{}}\left(\frac{F_3^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}+\frac{3F_2^\delta _{\mathrm{}}^2}{|F^\delta |_{\mathrm{}}^2}\right)\mathrm{exp}(3|F^\delta |_{\mathrm{}}t)$$

and thus

$`u_q^\delta (t)_{\dot{H}^3}\left[\left({\displaystyle \frac{F_3^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}}+{\displaystyle \frac{3F_2^\delta _{\mathrm{}}^2}{|F^\delta |_{\mathrm{}}^2}}\right)u_q^0_{\dot{H}^1}+3{\displaystyle \frac{F_2^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}}u_q^0_{\dot{H}^2}+u_q^0_{\dot{H}^3}\right]\mathrm{exp}(3|F^\delta |_{\mathrm{}}t)`$
$`6\left({\displaystyle \frac{F_3^\delta _{\mathrm{}}}{|F^\delta |_{\mathrm{}}}}+{\displaystyle \frac{F_2^\delta _{\mathrm{}}^2}{|F^\delta |_{\mathrm{}}^2}}+1\right)u_q^0_{H^3}\mathrm{exp}(3|F^\delta |_{\mathrm{}}t).`$
This completes the proof of Lemma 3.6 because $`\overline{\gamma }_\delta =|F^\delta |_{\mathrm{}}`$.