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# White-Noise and Geometrical Optics Limits of Wigner-Moyal Equation for Wave Beams in Turbulent Media

## 1. Introduction

Laser beam propagation in the turbulent atmosphere is governed by the classical wave equation with a randomly inhomogeneous refractive index field

$$n(z,𝐱)=\overline{n}(1+\stackrel{~}{n}(z,𝐱)),(z,𝐱)^3$$

where $`\overline{n}`$ is the mean and $`\stackrel{~}{n}(𝐱)`$ is the fluctuation of the refractive index field. We seek the solution of the form $`E(t,z,𝐱)=\mathrm{\Psi }(z,𝐱)\mathrm{exp}[i\overline{n}(kz\omega t)]+\text{c.c.}`$ where $`E`$ is the (scalar) electric field, $`k`$ and $`w=kc_0/\overline{n}`$ are the carrier wavenumber and frequency, respectively, with $`c_0`$ being the wave speed in vacuum. Here and below $`z`$ and $`𝐱`$ denote the variables in the longitudinal and transverse directions of the wave beam, respectively.

In the forward scattering approximation , the modulation $`\mathrm{\Psi }`$ is approximated by the solution of the parabolic wave equation which after nondimensionalization with respect to some reference lengths $`L_z`$ and $`L_x`$ in the longitudinal and transverse directions, respectively, has this form

(1) $`i\stackrel{~}{k}{\displaystyle \frac{\mathrm{\Psi }}{z}}+{\displaystyle \frac{\gamma }{2}}\mathrm{\Delta }\mathrm{\Psi }+\stackrel{~}{k}^2k_0L_z\stackrel{~}{n}(zL_z,𝐱L_x)\mathrm{\Psi }=0,\mathrm{\Psi }(0,𝐱)=\mathrm{\Psi }_0(𝐱)L^2(^d),d=2`$
where $`\stackrel{~}{k}=k/k_0`$ is the normalized wavenumber with respect to the central wavenumber $`k_0`$ and $`\gamma `$ is the Fresnel number

$$\gamma =\frac{L_z}{k_0L_x^2}.$$

A widely used model for the fluctuating refractive index field $`\stackrel{~}{n}`$ is a spatially homogeneous random field (usually assumed to be Gaussian) with the spatial structure function

$$D_n(|\stackrel{}{𝐱}|)=𝔼[\stackrel{~}{n}(\stackrel{}{𝐱}+)\stackrel{~}{n}()]^2=C_n^2|\stackrel{}{𝐱}|^{2/3},|\stackrel{}{𝐱}|(\mathrm{}_0,L_0),\stackrel{}{𝐱}=(z,𝐱)^{d+1},d=2$$

where $`\mathrm{}_0`$ and $`L_0`$ are the inner and outer scales, respectively. Here and below $`𝔼`$ stands for ensemble average.

The refractive index structure function has a spectral representation

(2) $`D_n(|\stackrel{}{𝐱}|)=8\pi {\displaystyle _0^{\mathrm{}}}\mathrm{\Phi }_n(|\stackrel{}{𝐤}|)\left[1{\displaystyle \frac{\mathrm{sin}(|\stackrel{}{𝐤}||\stackrel{}{𝐱}|)}{|\stackrel{}{𝐤}||\stackrel{}{𝐱}|}}\right]|\stackrel{}{𝐤}|^2d|\stackrel{}{𝐤}|,\stackrel{}{𝐤}^{d+1}`$
with the Kolmogorov spectral density

(3) $`\mathrm{\Phi }_n(|\stackrel{}{𝐤}|)=0.033C_n^2|\stackrel{}{𝐤}|^{11/3},|\stackrel{}{𝐤}|(\mathrm{}_0,L_0).`$
Here the structure parameter $`C_n^2`$ depends in general on the temperature gradient on the scales larger than $`L_0`$. See, e.g., ,  and  for more sophisticated models of turbulent refractive index fields.

In this paper we will consider a general class of spectral density parametrized by $`H(0,1)`$ and satisfying the upper bound

(4) $`\mathrm{\Phi }(\stackrel{}{𝐤})`$ $``$ $`K(L_0^2+|\stackrel{}{𝐤}|^2)^{H1/2d/2}\left(1+\mathrm{}_0^2|𝐤|^2\right)^2,\stackrel{}{𝐤}=(\xi ,𝐤)^{d+1},d=2`$
for some positive constant $`K<\mathrm{}`$. $`L_0`$ and $`\mathrm{}_0`$ in (4) are the infrared and ultraviolet cutoffs. The ultraviolet cutoff is physically due to dissipation on the small scales which normally results in a Gaussian decay factor . We are particularly interested in the regime where the ratio $`L_0/\mathrm{}_0`$ is large as in the high Reynolds number turbulent atmosphere.

Let us introduce the non-dimensional parameters that are pertinent to our scaling:

$$\epsilon =\sqrt{\frac{L_x}{L_z}},\eta =\frac{L_x}{L_0},\rho =\frac{L_x}{\mathrm{}_0}.$$

In terms of the parameters and the power-law spectrum in (4) we rewrite (1) as

(5) $`i\stackrel{~}{k}{\displaystyle \frac{\mathrm{\Psi }^\epsilon }{z}}+{\displaystyle \frac{\gamma }{2}}\mathrm{\Delta }\mathrm{\Psi }^\epsilon +{\displaystyle \frac{\stackrel{~}{k}^2}{\gamma }}{\displaystyle \frac{\mu }{\epsilon }}V({\displaystyle \frac{z}{\epsilon ^2}},𝐱)\mathrm{\Psi }^\epsilon =0,\mathrm{\Psi }^\epsilon (0,𝐱)=\mathrm{\Psi }_0(𝐱)`$
with

(6) $`\mu ={\displaystyle \frac{\sigma L_x^H}{\epsilon ^3}}`$
where $`\sigma `$ the standard variation of the homogeneous field $`\stackrel{~}{n}(z,𝐱)`$ and $`V`$ is the normalized refractive index field with a spectral density satisfying the upper bound

(7) $`\mathrm{\Phi }_{\eta ,\rho }(\stackrel{}{𝐤})K(\eta ^2+|\stackrel{}{𝐤}|^2)^{H1/2d/2}\left(1+\rho ^2|𝐤|^2\right)^2,\stackrel{}{𝐤}^{d+1},H(0,1)`$
for some positive constant $`K`$.

The generalized von Kármán spectral density ,

(8) $`\mathrm{\Phi }_{vk}(\stackrel{}{𝐤})=2^{H1}\mathrm{\Gamma }(H+{\displaystyle \frac{d+1}{2}})\eta ^{2H}\pi ^{(d+1)/2}(\eta ^2+|\stackrel{}{𝐤}|^2)^{H1/2d/2}`$
corresponds to the isotropic covariance function

$$B_{vk}(\stackrel{}{𝐱})=𝔼\left[V(\stackrel{}{𝐱}+)V()\right]=|\eta \stackrel{}{𝐱}|^HK_H(\eta |\stackrel{}{𝐱}|),\stackrel{}{𝐱}=(z,𝐱)^{d+1}$$

where $`K_H`$ is a Bessel function of the third kind given by

$$K_H(z)=_0^{\mathrm{}}\mathrm{exp}\left[z\frac{e^t+e^t}{2}\right]\frac{e^{Ht}+e^{Ht}}{2}𝑑t.$$

For $`H=1/2`$ we have the exponential covariance function $`B_{vk}(\stackrel{}{𝐱})=\mathrm{exp}[\eta |\stackrel{}{𝐱}|]`$. The additional ultraviolet cutoff imposed in the upper bound (7) would then give rises to the covariance function

$$B(\stackrel{}{𝐱})=GB_{vk}(\stackrel{}{𝐱})$$

where $`G`$ is the inverse Fourier transform of the cutoffs.

For high Reynolds number one has $`L_0/\mathrm{}_0=\rho /\eta 1`$ and thus a wide range of scales in the power spectrum (7). Note that in the worst case scenario the refractive index field loses spatial differentiability as $`\rho \mathrm{}`$ and homogeneity as $`\eta 0`$. The Gaussian field with its spectral density given by the right side of (7) has $`H`$ as the upper limit of the Hölder exponent of the sample field. The Kolmogorov spectrum has the exponent $`H=1/3`$. Since our result does not depend on $`d`$ we hereafter take it to be any positive integer.

Although we do not assume isotropic spectral densities, the spectral density always satisfies the basic symmetry:

(9) $`\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)=\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)=\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤),(\xi ,𝐤)^{d+1}.`$
In other words, the spectral density is invariant under change of sign in any component of the argument because it is a characteristic function of a real-valued stationary process.

We also assume that $`V_z(𝐱)V(z,𝐱)`$ is a square-integrable, $`z`$-stationary and $`𝐱`$-homogeneous process with the (partial) spectral representation

(10) $`V_z(𝐱)={\displaystyle \mathrm{exp}(i𝐩𝐱)\widehat{V}_z(d𝐩)}`$
where the process $`\widehat{V}_z(d𝐩)`$ is the $`z`$stationary orthogonal spectral measure satisfying

(11) $`𝔼\left[\widehat{V}_z(d𝐩)\widehat{V}_z(d𝐪)\right]=\delta (𝐩+𝐪)\left[{\displaystyle \mathrm{\Phi }(w,𝐩)𝑑w}\right]d𝐩d𝐪.`$
We do not assume the Gaussian property but instead a quasi-Gaussian property (see Assumption 1, 2 and 3 in Section 2.5 for precise statements).

If the observation scales $`L_z`$ and $`L_x`$ are the longitudinal and transverse scales, respectively, of the wave beam then $`\epsilon 1`$ corresponds to a long, narrow wave beam. The white-noise scaling then corresponds to $`\epsilon 0`$ with a fixed $`\mu `$. For convenience we set $`\mu =1`$. The white-noise scaling limit $`\epsilon 0`$ of Eq. (5) is analyzed in  (see also ). The limit $`\gamma 0`$ corresponds to the geometrical optics limit. In this paper we study the higher moments behavior in both white-noise and geometrical optics limits by considering the Wigner transform of the modulation function.

Our method is also suitable for the situation where deterministic large-scale inhomogeneities are present. One type of slowly varying, large-scale inhomogeneities is multiplicative and can be modeled by a bounded smooth deterministic function $`\mu =\mu (z,𝐱)`$ due to variability of any one of the three factors in (6) (see, e.g., ,  for models with slowly varying $`\sigma `$). The second type is additive and can be modeled by adding to $`\epsilon ^1\mu V(z\epsilon ^2,𝐱)`$ a smooth background $`V_0(z,𝐱)`$. Altogether we can treat the random refractive index field of the general type

$$V_0(z,𝐱)+\frac{\mu (z,𝐱)}{\epsilon }V(\frac{z}{\epsilon ^2},𝐱)$$

with a bounded smooth deterministic modulation and background in the parabolic wave equation (5). We describe the results in Section 2.3 but omit the details of the argument for simplicity of presentation. As the small-scale turbulent fluctuations are invariably embedded in a structure determined by large-scale geophysics this generalization is important for the practical application of the scaling limits.

### 1.1. Wigner distribution and Wigner-Moyal equation

The Wigner transform of $`\mathrm{\Psi }^\epsilon `$, called the Wigner distribution, is defined as

(12) $`W_z^\epsilon (𝐱,𝐩)={\displaystyle \frac{1}{(2\pi )^d}}{\displaystyle e^{i𝐩𝐲}\mathrm{\Psi }^\epsilon (z,𝐱+\frac{\gamma 𝐲}{2})\mathrm{\Psi }^\epsilon (z,𝐱\frac{\gamma 𝐲}{2})𝑑𝐲}.`$
One has the following bounds from (12)

$$W_z^\epsilon _{\mathrm{}}(2\gamma \pi )^d\mathrm{\Psi }^\epsilon (z,)_2^2,W_z^\epsilon _2=(2\gamma \pi )^{d/2}\mathrm{\Psi }^\epsilon (z,)_2^2$$

, , . The Wigner distribution has many important properties. For instance, it is real and its $`𝐩`$-integral is the modulus square of the function $`\varphi `$,

(13) $`{\displaystyle _^d}W^\epsilon (𝐱,𝐩)𝑑𝐩=|\mathrm{\Psi }^\epsilon (𝐱)|^2,`$
so we may think of $`W(𝐱,𝐩)`$ as wave number-resolved mass density. Additionally, its $`𝐱`$-integral is

$$_^dW^\epsilon (𝐱,𝐩)𝑑𝐱=(\frac{2\pi }{\gamma })^d|\widehat{\mathrm{\Psi }}^\epsilon |^2(𝐩/\gamma ).$$

The energy flux is expressed through $`W^\epsilon (𝐱,𝐩)`$ as

(14) $`{\displaystyle \frac{1}{2i}}(\mathrm{\Psi }\mathrm{\Psi }^{}\mathrm{\Psi }^{}\mathrm{\Psi })={\displaystyle _^d}𝐩W^\epsilon (𝐱,𝐩)𝑑𝐩`$
and its second moment in $`𝐩`$ is

(15) $`{\displaystyle |𝐩|^2W(𝐱,𝐩)𝑑𝐩}=|\mathrm{\Psi }^\epsilon (𝐱)|^2.`$
In view of these properties it is tempting to think of the Wigner distribution as a phase-space probability density, which is unfortunately not the case, since it is not everywhere non-negative. Nevertheless, the Wigner distribution is a useful tool for analyzing the evolution of wave energy in the phase space. Moreover, in the recent development of time reversal of waves in which a part of the waves is received, phase-conjugated and then back-propagated toward the source the refocused wave field is given by a Wigner distribution of mixed-state type (see (25) below) , , .

Moreover, the Wigner distribution, written as $`W_z^\epsilon (𝐱,𝐩)=W^\epsilon (z,𝐱,𝐩)`$, satisfies an evolution equation, called the Wigner-Moyal equation,

(16) $`{\displaystyle \frac{W_z^\epsilon }{z}}+{\displaystyle \frac{𝐩}{\stackrel{~}{k}}}_𝐱W_z^\epsilon +{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}_z^\epsilon W_z^\epsilon =0`$
with the initial data

(17) $`W_0(𝐱,𝐤)={\displaystyle \frac{1}{(2\pi )^d}}{\displaystyle e^{i𝐤𝐲}\mathrm{\Psi }_0(𝐱\frac{\gamma 𝐲}{2})\mathrm{\Psi }_0^{}(𝐱+\frac{\gamma 𝐲}{2})𝑑𝐲},`$
where the operator $`_z^\epsilon `$ is formally given as

$`_z^\epsilon W_z^\epsilon `$ $`=`$ $`i{\displaystyle e^{i𝐪𝐱}\gamma ^1\left[W_z^\epsilon (𝐱,𝐩+\gamma 𝐪/2)W_z^\epsilon (𝐱,𝐩\gamma 𝐪/2)\right]\widehat{V}(\frac{z}{\epsilon ^2},d𝐪)}`$
$`=`$ $`2\gamma ^1{\displaystyle W_z^\epsilon (𝐱,\gamma 𝐪/2)\text{Im}\left[e^{i2\gamma ^1𝐩𝐱}e^{i𝐪𝐱}\widehat{V}(\frac{z}{\epsilon ^2},d𝐪)\right]}.`$
We will use the following definition of the Fourier transform and inversion:

$`f(𝐩)`$ $`=`$ $`{\displaystyle \frac{1}{(2\pi )^d}}{\displaystyle e^{i𝐱𝐩}f(𝐱)𝑑𝐱}`$
$`^1g(𝐱)`$ $`=`$ $`{\displaystyle e^{i𝐩𝐱}g(𝐩)𝑑𝐩}.`$
When making a partial (inverse) Fourier transform on a phase-space function we will write $`_1`$ (resp. $`_1^1`$) and $`_2`$ (resp. $`_2^1`$) to denote the (resp. inverse) transform w.r.t. $`𝐱`$ and $`𝐩`$ respectively.

A useful way of analyzing $`_z^\epsilon W_z^\epsilon `$ as formally given in (1.1) is to look at its partial inverse Fourier transform $`_2^1_z^\epsilon W_z^\epsilon (𝐱,𝐲)`$ acting on

$`_2^1W_z^\epsilon (𝐱,𝐲){\displaystyle e^{i𝐩𝐲}W_z^\epsilon (𝐱,𝐩)𝑑𝐩}=\mathrm{\Psi }^\epsilon (𝐱+\gamma 𝐲/2)\mathrm{\Psi }^\epsilon (𝐱\gamma 𝐲/2)`$
in the following completely local manner

(19) $`_2^1_z^\epsilon W_z^\epsilon (𝐱,𝐲)=i\gamma ^1\delta _\gamma V_z^\epsilon (𝐱,𝐲)_2^1W_z^\epsilon (𝐱,𝐲)`$
where

(20) $`\delta _\gamma V_z^\epsilon (𝐱,𝐲)`$ $``$ $`V_z^\epsilon (𝐱+\gamma 𝐲/2)V_z^\epsilon (𝐱\gamma 𝐲/2)`$
(21) $`V_z^\epsilon (𝐱)`$ $`=`$ $`V_{z/\epsilon ^2}(𝐱).`$
Hereby we define for every realization of $`V_z^\epsilon `$ the operator $`_z^\epsilon `$ to act on a phase-space test function $`\theta `$ as

(22) $`_z^\epsilon \theta (𝐱,𝐩)i\gamma ^1_2\left[\delta _\gamma V_z^\epsilon (𝐱,𝐲)_2^1\theta (𝐱,𝐲)\right]`$
with the difference operator $`\delta _\gamma `$ given by (20) for any test function $`\theta 𝒮`$ where

$$𝒮=\left\{\theta (𝐱,𝐩)L^2(^{2d});_2^1\theta (𝐱,𝐲)C_c^{\mathrm{}}(^{2d})\right\}.$$

We note that $`_z^\epsilon `$ is skew-symmetric and real (i.e. mapping real-valued functions to real-valued functions). In this paper we consider the weak formulation of the Wigner-Moyal equation: To find $`W_z^\epsilon D([0,\mathrm{});L^2(^{2d}))`$ such that $`W_z^\epsilon _2W_0_2,z>0,`$ and

(23) $`W_z^\epsilon ,\theta W_0,\theta `$ $`=`$ $`\stackrel{~}{k}^1{\displaystyle _0^z}W_s^\epsilon ,𝐩_𝐱\theta 𝑑s+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}{\displaystyle _0^z}W_s^\epsilon ,_s^\epsilon \theta 𝑑s.`$
###### Remark 1.

Since Eq. (23) is linear , the existence of weak solutions can be established straightforwardly by the weak-$``$ compactness argument. Let us briefly comment on this. First, we introduce truncation $`N<\mathrm{}`$

$$V_N(z,𝐱)=V(z,𝐱),|V(z,𝐱)|<N$$

and zero otherwise. Clearly, for such bounded $`V_N`$ the corresponding operator $`_z^\epsilon `$ is a bounded self-adjoint operator on $`L^2(^{2d})`$. Hence the corresponding Wigner-Moyal equation preserves the $`L^2`$-norm of the initial data and produces a sequence of $`L^2`$-bounded weak solutions. Passing to the limit $`N\mathrm{}`$ we obtain a $`L^2`$-weak solution for the original Wigner-Moyal equation if $`V`$ is locally square-integrable as is assumed here. However, due to the weak limiting procedure, there is no guarantee that the $`L^2`$-norm of the initial data is preserved in the limit.

We will not address the uniqueness of solution for the Wigner-Moyal equation (23) but we will show that as $`\epsilon 0`$ any sequence of weak solutions to eq. (23) converges in a suitable sense to the unique solution of a martingale problem (see Theorem 1 and 2).

### 1.2. Liouville equation

In the geometric optics limit $`\gamma 0`$, if one takes the usual WKB-type initial condition

$$\mathrm{\Psi }(0,𝐱)=A_0(𝐱)e^{iS(𝐱)/\gamma }$$

then the Wigner distribution formally tends to the WKB-type distribution

(24) $`W_0(𝐱,𝐩)=|A_0|^2\delta (𝐩S(𝐱))`$
which satisfies $`_2^1W_0L^{\mathrm{}}(^{2d})`$. It has been shown  that the primitive WKB-type distribution (24) can not arise from the geometrical optics limit ($`\gamma 0`$) from any pure state Wigner distribution as given by (17) but rather from a mixed state Wigner distribution of the form

(25) $`W_0(𝐱,𝐤)={\displaystyle \frac{1}{(2\pi )^d}}{\displaystyle e^{i𝐤𝐲}\mathrm{\Psi }_0(𝐱\frac{\gamma 𝐲}{2};\alpha )\mathrm{\Psi }_0^{}(𝐱+\frac{\gamma 𝐲}{2};\alpha )𝑑𝐲𝑑P(\alpha )},`$
where $`P(\alpha )`$ is a probability distribution of a family of states $`\mathrm{\Psi }_0^\alpha `$ parametrized by $`\alpha `$. The mixed state Wigner distributions generally give rise to a smeared initial condition, i.e. $`W_0(𝐱,𝐩)L^2(^{2d})`$ even in the geometrical optics limit. This, instead of the WKB type, is the kind of initial conditions considered in this paper.

When acting on the test function space $`𝒮`$, $`_z^\epsilon `$ as given by (22) has the following limit

(26) $`\underset{\gamma 0}{lim}_z^\epsilon \theta (𝐱,𝐩)=_2\left[_𝐱V_z(𝐱)\left[i𝐲_2^1\theta (𝐱,𝐲)\right]\right]=_𝐱V_z(𝐱)_𝐩\theta (𝐱,𝐩)`$
in the $`L^2`$-sense for all $`\theta 𝒮`$ and all locally square-integrable $`V_z`$. Hence the Wigner-Moyal equation (23) formally becomes in the limit $`\gamma 0`$ the Liouville equation in the weak formulation

(27) $`W_z^\epsilon ,\theta W_0,\theta `$ $`=`$ $`\stackrel{~}{k}^1{\displaystyle _0^z}W_s^\epsilon ,𝐩_𝐱\theta 𝑑s{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}{\displaystyle _0^z}W_s^\epsilon ,_𝐱V_s_𝐩\theta 𝑑s,\theta 𝒮.`$
The same weak-$``$ compactness argument as described in Remark 1 establishes the existence of $`L^2`$-weak solution of the Liouville equation except now that the operator (26) is unbounded and requires local square integrability of $`V_z()`$. We will show that as $`\epsilon 0`$ any sequence of weak solutions of the Wigner-Moyal equation with any $`L^2`$-initial condition converge as $`\epsilon ,\gamma 0`$ in a suitable sense to the unique solution of a martingale problem associated with the Gaussian white-noise model of the Liouville equation (see Theorem 2).

In addition to the limit $`\epsilon 0`$ we shall also let $`\rho \mathrm{}`$ and $`\eta 0`$ simultaneously. We first study the case $`\rho \mathrm{}`$, but $`\eta `$ fixed, as $`\epsilon 0`$. This means that the Fresnel length is comparable to the outer scale. Then we study the narrow beam regime $`\eta 0`$ where the Fresnel length is in the middle of the inertial-convective subrange.

## 2. Formulation and main results

### 2.1. Martingale formulation

The tightness result (see below) implies that for $`L^2`$ initial data the limiting measure $``$ is supported in $`L^2([0,z_0];L^2(^{2d}))`$. For tightness as well as identification of the limit, the following infinitesimal operator $`𝒜^\epsilon `$ will play an important role. Let $`V_z^\epsilon V(z/\epsilon ^2,)`$ and $`z_0<\mathrm{}`$ be any positive number. Let $`_z^\epsilon `$ be the $`\sigma `$-algebras generated by $`\{V_s^\epsilon ,st\}`$ and $`𝔼_z^\epsilon `$ the corresponding conditional expectation w.r.t. $`_z^\epsilon `$. Let $`^\epsilon `$ be the space of measurable function adapted to $`\{_z^\epsilon ,z\}`$ such that $`sup_{z<z_0}𝔼|f_z|<\mathrm{}`$. We say $`f_z𝒟(𝒜^\epsilon )`$, the domain of $`𝒜^\epsilon `$, and $`𝒜^\epsilon f_z=g_z`$ if $`f_z,g_z^\epsilon `$ and for $`f_z^\delta \delta ^1[𝔼_z^\epsilon f_{z+\delta }f_z]`$ we have

$`\underset{z,\delta >0}{sup}𝔼|f_z^\delta |`$ $`<`$ $`\mathrm{}`$
$`\underset{\delta 0}{lim}𝔼|f_z^\delta g_z|`$ $`=`$ $`0,t.`$
Consider a special class of admissible functions $`f_z=f(W_z^\epsilon ,\theta ),f_z^{}=f^{}(W_z^\epsilon ,\theta ),fC^{\mathrm{}}()`$ we have the following expression from (23) and the chain rule

(28) $`𝒜^\epsilon f_z`$ $`=`$ $`f_z^{}\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱\theta +{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon \theta \right].`$
A main property of $`𝒜^\epsilon `$ is that

(29) $`f_z{\displaystyle _0^z}𝒜^\epsilon f_s𝑑s\text{is a }_z^\epsilon \text{-martingale},f𝒟(𝒜^\epsilon ).`$
Also,

(30) $`𝔼_s^\epsilon f_zf_s={\displaystyle _s^z}𝔼_s^\epsilon 𝒜^\epsilon f_\tau 𝑑\tau s<z\text{a.s.}`$
(see ). Note that the process $`W_z^\epsilon `$ is not Markovian and $`𝒜^\epsilon `$ is not its generator. We denote by $`𝒜`$ the infinitesimal operator corresponding to the unscaled process $`V_z()=V(z,)`$.

### 2.2. The white-noise models

Now we formulate the solutions for the Gaussian white-noise model as the solutions to the corresponding martingale problem: Find the law of $`W_z`$ on the subspace of $`D([0,\mathrm{});L_w^2(^{2d}))`$ whose elements have the initial condition $`W_0(𝐱,𝐩)L^2(^{2d})`$ such that

$`f(W_z,\theta ){\displaystyle _0^z}\left\{f^{}(W_s,\theta )\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_s,𝐩_𝐱\theta +\stackrel{~}{k}^2W_s,\overline{𝒬}_0\theta \right]+\stackrel{~}{k}^2f^{\prime \prime }(W_s,\theta )W_s,\overline{𝒦}_\theta W_s\right\}𝑑s`$
is a martingale for each $`fC^{\mathrm{}}()`$
with

(31) $`\overline{𝒦}_\theta W_s`$ $`=`$ $`{\displaystyle \overline{𝒬}(\theta \theta )(𝐱,𝐩,𝐲,𝐪)W_s(𝐲,𝐪)𝑑𝐲𝑑𝐪}.`$
Here, in the case of the white-noise model for the Wigner-Moyal equation (Theorem 1), the covariance operators $`\overline{𝒬},\overline{𝒬}_0`$ are defined as

(32) $`\overline{𝒬}_0\theta `$ $`=`$ $`{\displaystyle \mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪)\gamma ^2\left[2\theta (𝐱,𝐩)+\theta (𝐱,𝐩\gamma 𝐪)+\theta (𝐱,𝐩+\gamma 𝐪)\right]𝑑𝐪}.`$
$`\overline{𝒬}(\theta \theta )(𝐱,𝐩,𝐲,𝐪)`$ $`=`$ $`{\displaystyle e^{i𝐪^{}(𝐱𝐲)}\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪^{})\gamma ^2\left[\theta (𝐱,𝐩\gamma 𝐪^{}/2)\theta (𝐱,𝐩+\gamma 𝐪^{}/2)\right]}`$
$`\times \left[\theta (𝐲,𝐪\gamma 𝐪^{}/2)\theta (𝐲,𝐪+\gamma 𝐪^{}/2)\right]d𝐪^{}`$
and, in the case of the white-noise model for the Liouville equation (Theorem 2),

(34) $`\overline{𝒬}_0\theta (𝐱,𝐩)`$ $`=`$ $`\mathrm{\Delta }_𝐩\theta (𝐱,𝐩){\displaystyle \mathrm{\Phi }_\eta ^\rho (𝐪)|𝐪|^2𝑑𝐪}`$
$`\overline{𝒬}(\theta \theta )(𝐱,𝐩,𝐲,𝐪)`$ $`=`$ $`_𝐩\theta (𝐱,𝐩)\left[{\displaystyle e^{i𝐪^{}(𝐱𝐲)}\mathrm{\Phi }_\eta ^\rho (𝐪^{})𝐪^{}𝐪^{}𝑑𝐪^{}}\right]_𝐪\theta (𝐲,𝐪),`$
$`\eta 0,\rho <\mathrm{}`$
with the spectral density $`\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪)`$ given by

$$\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪)=\underset{\rho \mathrm{}}{lim}\mathrm{\Phi }_\eta ^\rho (𝐪)\underset{\rho \mathrm{}}{lim}\mathrm{\Phi }_{\eta ,\rho }(0,𝐪),\eta 0.$$

Note that the operators $`\overline{𝒬}`$ and $`\overline{𝒬}_0`$ are well-defined for any test function $`\theta 𝒮`$ in the former case for any $`H(0,1),\eta >0`$ or $`\eta =0,H(0,1/2)`$, and in the latter case for $`H(0,1),0\eta <\rho <\mathrm{}`$ or $`H(0,1/2),0=\eta <\rho <\mathrm{}`$ or $`H(1/2,1),0<\eta <\rho =\mathrm{}`$.

To see that (31)-(2.2) is square-integrable and well-defined for any $`L^2(^{2d})`$-valued process $`W_z`$, we apply $`_2^1`$ to (31) and obtain

$`_2^1\overline{𝒦}_\theta W_s(𝐱,𝐮)`$ $`=`$ $`_2^1\theta (𝐱,𝐮){\displaystyle e^{i𝐪^{}(𝐱𝐲)}\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪^{})\gamma ^2\left[e^{i\gamma 𝐪^{}𝐮/2}e^{i\gamma 𝐪^{}𝐮/2}\right]}`$
$`\times \left[\theta (𝐲,𝐪\gamma 𝐪^{}/2)\theta (𝐲,𝐪+\gamma 𝐪^{}/2)\right]W_z(𝐲,𝐪)d𝐲d𝐪d𝐪^{}.`$
$`=`$ $`(2\pi )^{2d}_2^1\theta (𝐱,𝐮){\displaystyle _2^1\theta (𝐲,𝐲^{})\left[_2^1W_z(𝐲,𝐲^{})_2^1W_z(𝐲,𝐲^{})\right]}`$
$`\times {\displaystyle }e^{i𝐲^{}𝐪^{}}e^{i𝐪^{}(𝐱𝐲)}\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪^{})\gamma ^2[e^{i\gamma 𝐪^{}𝐮/2}e^{i\gamma 𝐪^{}𝐮/2}]d𝐪^{}d𝐲d𝐲^{}.`$
The integral on the right side of (2.2) is bounded over compact sets of $`(𝐱,𝐮)`$ because $`\theta 𝒮`$, $`W_zL^2(^{2d})`$ and the function

$$\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐪^{})\left[e^{i\gamma 𝐪^{}𝐮/2}e^{i\gamma 𝐪^{}𝐮/2}\right]$$

is integrable in $`𝐪^{}^d`$ and the associated integral is bounded over compact sets of $`𝐮`$ for any $`H(0,1),\eta >0`$ or $`\eta =0,H<1/2`$. Hence the function on the right side of (2.2) has a compact support and is square-integrable. Similarly, one can show that (32)-(2.2) is well defined for $`H(0,1),\rho <\mathrm{}`$ or $`H>1/2,\rho =\mathrm{}`$.

In view of the martingale problem the white-noise model is an infinite-dimensional Markov process with the generator given by

$$\overline{𝒜}f_zf_s^{}\left[\frac{1}{\stackrel{~}{k}}W_z,𝐩_𝐱\theta +\stackrel{~}{k}^2\overline{A}_1(W_z)\right]+\stackrel{~}{k}^2f_z^{\prime \prime }\overline{A}_2(W_z).$$

This Markov process $`W_z`$ can also be formulated as solutions to the Itô’s equation

(37) $`dW_z`$ $`=`$ $`\left({\displaystyle \frac{1}{\stackrel{~}{k}}}𝐩_𝐱+\stackrel{~}{k}^2\overline{𝒬}_0\right)W_zdz+\stackrel{~}{k}d\overline{}_zW_z,W_0(𝐱)L^2(^{2d})`$
or as the Stratonovich’s equation

$`dW_z`$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}𝐩_𝐱+\stackrel{~}{k}d\overline{}_zW_z,W_0(𝐱)L^2(^{2d})`$
where $`\overline{}_z`$ is the operator-valued Brownian motion with the covariance operator $`\overline{𝒬}`$, i.e.

$`𝔼\left[d\overline{}_z\theta (𝐱,𝐩)d\overline{}_z^{}\theta (𝐲,𝐪)\right]`$ $`=`$ $`\delta (zz^{})\overline{𝒬}(\theta \theta )(𝐱,𝐩,𝐲,𝐪)dzdz^{}.`$
Eq. (37) should be solved in the space $`D([0,\mathrm{});L_w^2(^{2d}))`$, namely, to find $`W_zD([0,\mathrm{});L_w^2(^{2d}))`$ such that for all $`\theta L^2(^{2d})`$

(38) $`dW_z,\theta `$ $`=`$ $`W_z,\left({\displaystyle \frac{1}{\stackrel{~}{k}}}𝐩_𝐱+\stackrel{~}{k}^2\overline{𝒬}_0\right)\theta dz+\stackrel{~}{k}W_z,d\overline{}_z\theta ,W_0(𝐱)L^2(^{2d}).`$
Our results show that the solution to (38) exists, is unique and satisfies the $`L^2`$-bound

$$W_z_2W_0_2$$

(cf. Theorem 1, 2, Remark 1, 3 and Section 2.4).

In view of (2.2), (32), (34) and (2.2) we can interpret the white-noise limit $`\epsilon 0`$ as giving rise to a white-noise-in-$`z`$ potential $`V_z^{}`$ whose spectral density is bounded from above by

$$K^{}(\eta ^2+|𝐤|^2)^{H^{}d/2}$$

for some constant $`K^{}<\mathrm{}`$ with the effective Hölder exponent $`H_{}=H+1/2`$ by observing that

(39) $`\underset{\epsilon 0}{lim}_z^\epsilon \theta (𝐱,𝐩)`$ $`=`$ $`i_2\left[\gamma ^1\delta _\gamma V_z^{}(𝐱,𝐲)_2^1\theta (𝐱,𝐲)\right],\theta 𝒮`$
(40) $`\underset{\epsilon ,\gamma 0}{lim}_z^\epsilon \theta (𝐱,𝐩)`$ $`=`$ $`_𝐱V_z^{}(𝐱)_𝐩\theta (𝐱,𝐩),\theta 𝒮`$
in the mean square sense.

### 2.3. White-noise models with large-scale inhomogeneities

First we consider the case of deterministic, large-scale inhomogeneities of a multiplicative type which has $`\mu `$, given by (6), as a bounded smooth function $`\mu =\mu (z,𝐱).`$ The resulting limiting process can be described analogously as above except with the term $`\mathrm{\Phi }_\eta ^{\mathrm{}}`$ replaced by

$`\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐤)`$ $``$ $`\mu (z,𝐱)\mu (z,𝐲)\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐤),\text{in}\overline{𝒬}`$
$`\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐤)`$ $``$ $`\mu ^2(z,𝐱)\mathrm{\Phi }_\eta ^{\mathrm{}}(𝐤),\text{in}\overline{𝒬}_0.`$
As a consequence the operator $`\overline{𝒬}_0`$ is no longer of convolution type.

Next we add a slowly varying smooth deterministic background $`V_0(z,𝐱)`$ to the rapidly fluctuating field $`\epsilon ^1\mu (z,𝐱)V(\epsilon ^2z,𝐱)`$. Namely we have

$$V_0(z,𝐱)+\frac{\mu (z,𝐱)}{\epsilon }V(\frac{z}{\epsilon ^2},𝐱)$$

as the potential term in the parabolic wave equation (5).

The resulting martingale problem has an additional term

(41) $`{\displaystyle _0^z}\stackrel{~}{k}W_s,_0\theta 𝑑s`$
in the martingale formulation where $`_0\theta `$ has the form

(42) $`_0\theta (𝐱,𝐩)`$ $`=`$ $`i{\displaystyle e^{i𝐪𝐱}\gamma ^1\left[\theta (𝐱,𝐩+\gamma 𝐪/2)\theta (𝐱,𝐩\gamma 𝐪/2)\right]\widehat{V}_0(z,d𝐪)}`$
$``$ $`i\gamma ^1_2\left[(V_0(𝐱+\gamma 𝐲/2)V_0(𝐱\gamma 𝐲/2))_2^1\theta (𝐱,𝐲)\right]`$
for $`\gamma >0`$ fixed in the limit, and the form

(43) $`_0\theta (𝐱,𝐩)=_𝐱V_0(z,𝐱)_𝐩\theta (𝐱,𝐩)`$
in the case of $`\gamma 0`$.

### 2.4. Multiple-point correlation functions of the limiting model

The martingale solutions of the limiting models are uniquely determined by their $`n`$-point correlation functions which satisfy a closed set of evolution equations.

Using the function $`f(r)=r^n`$ in the martingale formulation and taking expectation, we arrive after some algebra the following equation

(44) $`{\displaystyle \frac{F^{(n)}}{z}}`$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}{\displaystyle \underset{j=1}{\overset{n}{}}}𝐩_j_{𝐱_j}F^{(n)}+\stackrel{~}{k}^2{\displaystyle \underset{j=1}{\overset{n}{}}}\overline{𝒬}_0(𝐱_j,𝐩_j)F^{(n)}+\stackrel{~}{k}^2{\displaystyle \underset{\genfrac{}{}{0pt}{}{j,k=1}{jk}}{\overset{n}{}}}\overline{𝒬}(𝐱_j,𝐩_j,𝐱_k,𝐩_k)F^{(n)}`$
for the $`n`$point correlation function

$$F^{(n)}(z,𝐱_1,𝐩_1,\mathrm{},𝐱_n,𝐩_n)𝔼\left[W_z(𝐱_1,𝐩_1)\mathrm{}W_z(𝐱_n,𝐩_n)\right]$$

where $`\overline{𝒬}_0(𝐱_j,𝐩_j)`$ is the operator $`\overline{𝒬}_0`$ acting on the variables $`(𝐱_j,𝐩_j)`$ and $`\overline{𝒬}(𝐱_j,𝐩_j,𝐱_k,𝐩_k)`$ is the operator $`\overline{𝒬}`$ acting on the variables $`(𝐱_j,𝐩_j,𝐱_k,𝐩_k)`$, namely

$`𝒬(𝐱_j,𝐩_j,𝐱_k,𝐩_k)F^{(n)}(𝐱_i,𝐩_i)`$
$`=`$ $`𝔼\{\left[{\displaystyle \underset{ij,k}{}}W(𝐱_i,𝐩_i)\right]{\displaystyle }e^{i𝐪^{}(𝐱𝐲)}\mathrm{\Phi }_{(\eta ,\mathrm{})}(0,𝐩)\gamma ^2`$
$`\times [W(𝐱_j,𝐩_j\gamma 𝐪/2)W(𝐱_j,𝐩_j+\gamma 𝐪/2)][W(𝐱_k,𝐩_k\gamma 𝐪/2)W(𝐱_k,𝐩_k+\gamma 𝐪/2)]d𝐪\}.`$
Eq. (44) can be more conveniently written as

(45) $`{\displaystyle \frac{F^{(n)}}{z}}`$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}{\displaystyle \underset{j=1}{\overset{n}{}}}𝐩_j_{𝐱_j}F^{(n)}+\stackrel{~}{k}^2{\displaystyle \underset{j,k=1}{\overset{n}{}}}\overline{𝒬}(𝐱_j,𝐩_j,𝐱_k,𝐩_k)F^{(n)}`$
with the identification $`\overline{𝒬}(𝐱_j,𝐩_j,𝐱_j,𝐩_j)=\overline{𝒬}_0(𝐱_j,𝐩_j)`$. The operator

(46) $`{\displaystyle \underset{j,k=1}{\overset{n}{}}}\overline{𝒬}(𝐱_j,𝐩_j,𝐱_k,𝐩_k)`$
is a non-positive symmetric operator. We note that the mean Wigner distribution can be exactly solved for from Eq. (45) for $`n=1`$  and has a number of interesting applications in optics including time reversal. The 2-nd moment equation $`n=2`$ is related to the problem of scintillation  (see, e.g., ).

The uniqueness for eq. (44) with any initial data

$$F^{(n)}(z=0,𝐱_1,𝐩_1,\mathrm{},𝐱_n,𝐩_n)=𝔼\left[W_0(𝐱_1,𝐩_1)\mathrm{}W_0(𝐱_n,𝐩_n)\right],W_0L^2(^{2d})$$

in the case of the Wigner-Moyal equation can be easily established by observing that the operator given by (46) is self-adjoint. In the case of the Liouville equation, eq. (45) can be more explicitly written as the advection-diffusion equation on the phase space

(47) $`{\displaystyle \frac{F^{(n)}}{z}}`$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}{\displaystyle \underset{j=1}{\overset{n}{}}}𝐩_j_{𝐱_j}F^{(n)}+{\displaystyle \frac{\stackrel{~}{k}^2}{4}}{\displaystyle \underset{j,k=1}{\overset{n}{}}}D(𝐱_j𝐱_k):_{𝐩_j}_{𝐩_k}F^{(n)}`$
with

$`𝐃(𝐱_j𝐱_k)`$ $`=`$ $`{\displaystyle e^{i𝐪^{}(𝐱_j𝐱_k)}\mathrm{\Phi }_\eta ^\rho (𝐪^{})𝐪^{}𝐪^{}𝑑𝐪^{}}`$
$`D(0)`$ $`=`$ $`{\displaystyle \mathrm{\Phi }_\eta ^\rho (𝐪^{})|𝐪^{}|^2𝑑𝐪^{}}`$
with $`\eta 0`$ where $`D(0)`$ is the Stratonovich correction term. In the worst case scenario the diffusion coefficient $`D(0)`$ diverges as $`\rho \mathrm{}`$ but always well-defined as $`\eta 0`$ for $`H<1/2.`$ Moreover the diffusion operator

$$\underset{j,k=1}{\overset{n}{}}𝐃(𝐱_j𝐱_k):_{𝐩_j}_{𝐩_k}$$

is an essentially self-adjoint positive operator on $`C_c^{\mathrm{}}(^{2nd})`$ due to the sub-Lipschitz growth of the square-root of $`𝐃(𝐱_k𝐱_k)`$ at large $`|𝐱_j|,|𝐱_k|`$ .

### 2.5. Assumptions and properties of the refractive index field

As mentioned in the introduction, we assume that $`V_z(𝐱)`$ is a square-integrable, $`z`$-stationary, $`𝐱`$-homogeneous process with a spectral density satisfying the upper bound (7).

Let $`\rho (t)`$ be a non-negative (random or deterministic) function such that

(48) $`\left|𝔼\left[𝔼_z[V_s(𝐱)]𝔼_z[V_t(𝐲)]\right]\right|`$ $`=`$ $`\left|𝔼\left[𝔼_z[V_s(𝐱)]V_t(𝐲)\right]\right|`$
$``$ $`r(sz)r(tz)𝔼\left[V_t^2\right],s,tz,𝐱,𝐲^d.`$
An obvious candidate for $`r(t)`$ is the correlation coefficient defined as follows. Let $`_z`$ and $`_z^+`$ be the sigma-algebras generated by $`\{V_s:sz\}`$ and $`\{V_s:sz\}`$, respectively. The correlation coefficient $`r_{\eta ,\rho }(t)`$ is given by

(49) $`r_{\eta ,\rho }(t)=\underset{\genfrac{}{}{0pt}{}{h_z}{𝔼[h]=0,𝔼[h^2]=1}}{sup}\underset{\genfrac{}{}{0pt}{}{g_{z+t}^+}{𝔼[g]=0,𝔼[g^2]=1}}{sup}𝔼\left[hg\right].`$
###### Lemma 1.

The correlation coefficient $`r_{\eta ,\rho }(t)`$ as given by (49) satisfies the inequality (48).

###### Proof.

Let

$$h_s(𝐱)=𝔼_z[V_s(𝐱)],g_t(𝐱)=V_t(𝐱).$$

Clearly

$`h_s`$ $``$ $`L^2(P,\mathrm{\Omega },_z)`$
$`g_t`$ $``$ $`L^2(P,\mathrm{\Omega },_t^+)`$
and their second moments are uniformly bounded in $`𝐱`$ since

$`𝔼[h_s^2](𝐱)`$ $``$ $`𝔼[g_s^2](𝐱)`$
$`𝔼[g_s^2](𝐱)`$ $`=`$ $`{\displaystyle \mathrm{\Phi }(\xi ,𝐪)𝑑\xi 𝑑𝐪}`$
From the definition (49) we have

$`\left|𝔼[h_s(𝐱)h_t(𝐲)]\right|`$ $`=\left|𝔼\left[h_sg_t\right]\right|`$ $`r_{\eta ,\rho }(tz)𝔼^{1/2}\left[h_s^2(𝐱)\right]𝔼^{1/2}\left[g_t^2\right].`$
Hence by setting $`s=t`$ first and the Cauchy-Schwartz inequality we have

$`𝔼\left[h_s^2\right(𝐱)]`$ $``$ $`r_{\eta ,\rho }^2(sz)𝔼[g_t^2]`$
$`𝔼\left[h_s(𝐱)h_t(𝐲)\right]`$ $``$ $`r_{\eta ,\rho }(tz)r_{\eta ,\rho }(sz)𝔼[g_t^2],s,tz,𝐱,𝐲.`$
We assume

###### Assumption 1.

* The function $`r(t)`$ in (48) satisfies

$$_0^{\mathrm{}}_0^{\mathrm{}}𝔼[r(s)r(t)]𝑑s𝑑t<\mathrm{}.$$
*

###### Corollary 1.

Assumption 1 implies that the formula

(50) $`\stackrel{~}{V}_z(𝐱)={\displaystyle _0^{\mathrm{}}}𝔼_0\left[V_s(𝐱)\right]𝑑s`$
defines a square-integrable $`𝐱`$-homogeneous process.

###### Proof.

We only need to verify its second moment is finite:

$`𝔼\left[\stackrel{~}{V}_z^2(𝐱)\right]`$ $`=`$ $`𝔼\left[{\displaystyle _z^{\mathrm{}}}{\displaystyle _z^{\mathrm{}}}𝔼_z[V_s(𝐱)]𝔼_z[V_t(𝐱)]𝑑s𝑑t\right]`$
$`=`$ $`𝔼\left[{\displaystyle _z^{\mathrm{}}}{\displaystyle _z^{\mathrm{}}}𝔼_z[V_s(𝐱)]V_t(𝐱)𝑑s𝑑t\right]`$
$``$ $`𝔼\left[{\displaystyle _0^{\mathrm{}}}{\displaystyle _0^{\mathrm{}}}r(s)r(t)𝑑s𝑑t\right]𝔼[V_z^2]`$
which is finite by Assumption 1. ∎

One can adopt other alternative mixing coefficients to get the above results and higher order moment estimates, see Appendix A. Hereafter we will mainly focus on the correlation coefficient as it is most convenient to work with in the Gaussian case and we shall write explicitly the dependence of the correlation coefficient on $`\eta ,\rho `$ as $`r_{\eta ,\rho }(t)`$.

In the Gaussian case the correlation coefficient $`r_{\eta ,\rho }(t)`$ equals the linear correlation coefficient given by

(51) $`r_{\eta ,\rho }(t)`$ $`=`$ $`\underset{g_1,g_2}{sup}{\displaystyle R(t\tau _1\tau _2,𝐤)g_1(\tau _1,𝐤)g_2(\tau _2,𝐤)𝑑𝐤𝑑\tau _1𝑑\tau _2}`$
where

$$R(t,𝐤)=e^{it\xi }\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi $$

and the supremum is taken over all $`g_1,g_2L^2(^{d+1})`$ which are supported on $`(\mathrm{},0]\times ^d`$ and satisfy the constraint

(52) $`{\displaystyle R(tt^{},𝐤)g_1(t,𝐤)\overline{g}_1(t^{},𝐤)𝑑t𝑑t^{}𝑑𝐤}={\displaystyle R(tt^{},𝐤)g_2(t,𝐤)\overline{g}_2(t^{},𝐤)𝑑t𝑑t^{}𝑑𝐤}=1.`$
Alternatively, by the Paley-Wiener theorem we can write

(53) $`r_{\eta ,\rho }(t)`$ $`=`$ $`\underset{f_1,f_2}{sup}{\displaystyle e^{i\xi t}f_1(\xi ,𝐤)f_2(\xi ,𝐤)\mathrm{\Phi }(\xi ,𝐤)𝑑\xi 𝑑𝐤}`$
where $`f_1,f_2`$ are elements of the Hardy space $`^2`$ of $`L^2(^d;\mathrm{\Phi }_{(\eta ,\rho )})`$-valued analytic functions in the upper half $`\xi `$-space satisfying the normalization condition

$$|f_j(\xi ,𝐤)|^2\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤=1,j=1,2.$$

There are various criteria for the decay rate of the linear correlation coefficients, see .

###### Corollary 2.

If $`V_z`$ is a Gaussian random field and its linear correlation coefficient $`r_{\eta ,\rho }(t)`$ is integrable, then $`\stackrel{~}{V}_z`$ is also Gaussian and hence possesses finite moments of all orders.

This follows from the fact that the mapping from $`V_z`$ to $`\stackrel{~}{V}_z`$ is a bounded linear operator on the Gaussian space.

The main property of $`\stackrel{~}{V}_z`$ as a random function is that

(54) $`𝒜\stackrel{~}{V}_z=V_z,\text{a.s. }z.`$
Since $`𝒜`$ commutes with the shift in $`𝐱`$ so the appearance of $`𝐱`$ in eq. (54) is suppressed.

We have the following simple relation

$`\underset{\lambda \mathrm{}}{lim}𝔼\left[\stackrel{~}{V}_{z\lambda }(𝐱)V_{z\lambda }(𝐲)\right]`$ $`=`$ $`\underset{\lambda \mathrm{}}{lim}{\displaystyle e^{i(𝐱𝐲)𝐩}\frac{1}{i\xi }\left(e^{iz\lambda \xi }1\right)\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐩)𝑑\xi 𝑑𝐩}`$
$`=`$ $`\pi {\displaystyle e^{i(𝐱𝐲)𝐩}\mathrm{\Phi }_{(\eta ,\rho )}(0,𝐩)𝑑𝐩},z.`$
Define the covariance functions

$`\stackrel{~}{B}_z(𝐱𝐲)`$ $``$ $`𝔼\left[\stackrel{~}{V}_z(𝐱)\stackrel{~}{V}_z(𝐲)\right]`$
and write

$`\stackrel{~}{B}_z(𝐱)`$ $`=`$ $`{\displaystyle e^{i𝐤𝐱}\stackrel{~}{\mathrm{\Phi }}_z(𝐤)𝑑𝐤}`$
where $`\stackrel{~}{\mathrm{\Phi }}_z(𝐤)`$ is its spectral density function.

By the properties of the orthogonal projection $`𝔼_z[]`$, we know that

(56) $`𝔼\left[𝔼_z[\widehat{V}(A)]𝔼_z[\widehat{V}(A)]\right]𝔼\left[\widehat{V}(A)\widehat{V}(A)\right]={\displaystyle _A}\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤`$
for every Borel set $`A^{d+1}`$.

###### Assumption 2.

(i) The limit $`r_{\eta ,\mathrm{}}=lim_\rho \mathrm{}r_{\eta ,\rho }(t)`$ exists and satisfies

$$_0^{\mathrm{}}r_{\eta ,\mathrm{}}(t)𝑑t=\underset{\rho \mathrm{}}{lim}_0^{\mathrm{}}r_{\eta ,\rho }(t)𝑑t<\mathrm{}.$$

(ii) As $`\eta 0`$, there exists a constant $`C`$ such that

$$_0^{\mathrm{}}r_{\eta ,\rho }(t)𝑑tC\eta ^1_0^{\mathrm{}}r_{1,\rho }(t)𝑑t$$

For the Gaussian case with the von Kármán spectrum (8), a straightforward scaling argument shows that

$$r_{\eta ,\rho }(t)=r_{1,\rho }(\eta t)$$

which is indepedent of $`\rho `$. This motivates Assumption 2.

Set

$$\stackrel{~}{\mathrm{\Phi }}_z^\epsilon (𝐤)\stackrel{~}{\mathrm{\Phi }}_{\epsilon ^2z}(\xi ,𝐤)$$

which is the spectral density of $`\stackrel{~}{V}_z^\epsilon (𝐱)\stackrel{~}{V}_{z/\epsilon ^2}(𝐱)`$.

Define analogously to (22)

(57) $`\stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)i\gamma ^1_2\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)_2^1\theta (𝐱,𝐲)\right]`$
with

$$\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\stackrel{~}{V}_z^\epsilon (𝐱+\gamma 𝐲/2)\stackrel{~}{V}_z^\epsilon (𝐱\gamma 𝐲/2).$$

###### Lemma 2.

(Appendix B) For each $`z_0<\mathrm{}`$ there exists a positive constant $`\stackrel{~}{C}<\mathrm{}`$ such that

$`\underset{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}{sup}𝔼\left[\left(\delta _\gamma V_z^\epsilon \right)^2\right](𝐲)`$ $``$ $`\stackrel{~}{C}\gamma ^2\left|\mathrm{min}(\gamma ^1,\rho )\right|^{22H}`$
$`\underset{|z|z_0}{sup}𝔼\left[\stackrel{~}{V}_z^\epsilon (𝐱)\right]^2`$ $``$ $`\stackrel{~}{C}\eta ^{22H}`$
$`\underset{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}{sup}𝔼\left[\left(\delta _\gamma \stackrel{~}{V}_z^\epsilon \right)^2\right](𝐲)`$ $``$ $`\stackrel{~}{C}\eta ^2\gamma ^2|\mathrm{min}(\rho ,\gamma ^1)|^{22H}`$
$`\underset{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}{sup}\left|_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right|`$ $``$ $`\stackrel{~}{C}\eta ^2\gamma ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}`$
$`\underset{|z|z_0}{sup}𝔼𝐩_𝐱(\stackrel{~}{}_z^\epsilon \theta )_2^2`$ $``$ $`\stackrel{~}{C}\eta ^2\rho ^{42H},\theta 𝒮`$
for all $`H(0,1),\epsilon ,\gamma ,\eta 1\rho ,𝐱,𝐲^d`$ where the constant $`\stackrel{~}{C}`$ depends only on $`z_0`$, $`L`$ and $`\theta `$.

We also need to know the first few moments the random fields involved. The case of Gaussian fields motivates the following assumption of the 6-th order quasi-Gaussian property.

###### Assumption 3.

(58) $`\underset{|𝐲|L}{sup}𝔼\left[\delta _\gamma V_z^\epsilon (𝐲)\right]^4`$ $``$ $`C_1\underset{|𝐲|L}{sup}𝔼^2\left[\delta _\gamma V_z^\epsilon \right]^2(𝐲)`$
(59) $`\underset{|𝐲|L}{sup}𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^4(𝐲)`$ $``$ $`C_2\underset{|𝐲|L}{sup}𝔼^2\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)`$
(60) $`\underset{|𝐲|L}{sup}𝔼\left[\left[\delta _\gamma V_z^\epsilon \right]^2\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^4\right](𝐲)`$ $``$ $`C_3\left(\underset{|𝐲|L}{sup}𝔼\left[\delta _\gamma V_z^\epsilon \right]^2(𝐲)\right)\left(\underset{|𝐲|L}{sup}𝔼^2\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right)`$
for all $`L<\mathrm{}`$ where the constants $`C_1,C_2`$ and $`C_3`$ are independent of $`\epsilon ,\eta ,\rho ,\gamma `$.

From (22) and (57) we can form the iteration of operators $`_z^\epsilon \stackrel{~}{}_z^\epsilon `$

$$_z^\epsilon \stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)=\gamma ^2_2\left[\delta _\gamma V_z^\epsilon (𝐱,𝐲)\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)_2^1\theta (𝐱,𝐲)\right]$$

The operator $`_z^\epsilon \stackrel{~}{}_z^\epsilon \theta `$ is well-defined if $`\delta _\gamma V_z^\epsilon `$ and $`\delta _\gamma \stackrel{~}{V}_z^\epsilon `$ are locally square-integrable. Other iterations of $`_z^\epsilon `$ and $`\stackrel{~}{}_z^\epsilon `$ allowed by Assumption 2 can be similarly constructed.

The following estimates can be obtained from Lemma 2 and Assumption 3.

###### Corollary 3.

$`𝔼\left[_z^\epsilon \theta (𝐱,𝐩)\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)_2^2\right]`$ $`=`$ $`O\left(\gamma ^4\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)=O\left(\eta ^2|\mathrm{min}(\rho ,\gamma ^1)|^{44H}\right)`$
$`𝔼\left[_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2\right]`$ $`=`$ $`O\left(\gamma ^4\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)=O\left(\eta ^2|\mathrm{min}(\rho ,\gamma ^1)|^{44H}\right)`$
$`𝔼\left[\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2\right]`$ $`=`$ $`O\left(\gamma ^4\underset{|𝐲|L}{sup}𝔼^2\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)=O\left(\eta ^4|\mathrm{min}(\rho ,\gamma ^1)|^{44H}\right)`$
$`𝔼_z^\epsilon \stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2`$ $`=`$ $`O\left(\gamma ^6\underset{|𝐲|L}{sup}𝔼^2\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2𝔼\left|\delta _\gamma V_z^\epsilon \right|^2\right)=O\left(\eta ^4|\mathrm{min}(\rho ,\gamma ^1)|^{66H}\right)`$
where the constants are independent of $`\rho ,\eta ,\gamma `$ and $`L`$ is the radius of the ball containing the support of $`_2^1\theta `$.

###### Assumption 4.

For every $`\theta 𝒮`$, there exists a random constant $`C_5`$ such that

(61) $`\underset{z<z_0}{sup}\delta _\gamma \stackrel{~}{V}_z^\epsilon _2^1\theta _4`$ $``$ $`{\displaystyle \frac{C_5}{\sqrt{\epsilon }}}\underset{\genfrac{}{}{0pt}{}{z[0,z_0]}{|𝐱|,|𝐲|L}}{sup}𝔼^{1/2}|\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)|^2,\theta 𝒮,\epsilon ,\eta ,\gamma 1\rho `$
with $`C_5`$ possessing finite moments and depending only on $`\theta ,z_0`$, where $`L`$ is the radius of the ball containing the support of $`_2^1\theta `$. cf. Lemma 2 and (62).

For a Gaussian random field, Assumption 3 is readily satisfied for any $`\alpha (0,1)`$ by Lemma 2 and a simple application of Borell’s inequality

(62) $`\underset{z<z_0}{sup}\delta _\gamma \stackrel{~}{V_z^\epsilon }_2^1\theta _4`$ $``$ $`_2^1\theta _4\underset{\genfrac{}{}{0pt}{}{z[0,z_0]}{|𝐱|,|𝐲|L}}{sup}|\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)|`$
$``$ $`C_5\mathrm{log}\left({\displaystyle \frac{z_0}{\epsilon ^2}}\right)\underset{\genfrac{}{}{0pt}{}{z[0,z_0]}{|𝐱|,|𝐲|L}}{sup}𝔼^{1/2}|\delta _\gamma \stackrel{~}{V_z^\epsilon }(𝐱,𝐲)|^2,\eta ,\gamma 1\rho `$
where the random constants $`C_5`$ has a Gaussian-like tail.

Note that with $`\gamma `$ or $`\rho `$ held fixed the first term on the right side of (61) is always $`O(1)`$. Compared to the corresponding condition (62) for the Gaussian field condition (61) allows for certain degree of intermittency in the refractive index field.

Finally, we assume that for all $`\rho <\mathrm{}`$ the refractive index field is smooth in the transverse coordinates.

### 2.6. Main theorems

###### Theorem 1.

Let $`V_z^\epsilon `$ be a $`z`$-stationary, $`𝐱`$-homogeneous, almost surely smooth, locally bounded random process with the spectral density satisfying the bound (7) and Assumptions 1,2,3. Let $`\gamma >0`$ be fixed.

* Let $`\eta `$ be fixed and $`\rho `$ be fixed or tend to $`\mathrm{}`$ as $`\epsilon 0`$ such that

(63) $`\underset{\epsilon 0}{lim}\epsilon \rho ^{2H}=0.`$
Then the weak solution $`W^\epsilon `$ of the Wigner-Moyal equation with the initial condition $`W_0L^2(^{2d})`$ converges in law in the space $`D([0,\mathrm{});L_w^2(^{2d}))`$ of $`L^2`$-valued right continuous processes with left limits endowed with the Skorohod topology to that of the corresponding Gaussian white-noise model with the covariance operators $`\overline{𝒬}`$ and $`\overline{𝒬}_0`$ as given by (2.2) and (32), respectively (see also (41) and (42)). The statement holds true for any $`H(0,1)`$.
* Suppose additionally that $`H<1/2`$ and $`\eta =\eta (\epsilon )0`$ such that

(64) $`\underset{\epsilon 0}{lim}\epsilon \eta ^1(\eta ^1+\rho ^{2H})=0.`$
Then the same convergence holds.

Here and below $`L_w^2(^{2d})`$ is the space of square integrable functions on the phase space $`^{2d}`$ endowed with the weak topology.

The next theorem concerns a similar convergence to the solution of a Gaussian white-noise model for the Liouville equation.

###### Theorem 2.

Let $`V_z^\epsilon `$ be a $`z`$-stationary, $`𝐱`$-homogeneous, almost surely smooth, locally bounded random process with the spectral density satisfying the bound (7) and Assumptions 1,2,3.

Let $`\gamma =\gamma (\epsilon )0`$ as $`\epsilon 0`$. Then under any of the following three sets of conditions

* $`\rho <\mathrm{}`$ and $`\eta >0`$ held fixed;
* $`H>1/2`$, $`\eta >0`$ fixed and $`\rho =\rho (\epsilon )\mathrm{}`$ as $`\epsilon 0`$ such that

(65) $`\underset{\epsilon 0}{lim}\epsilon \rho ^{2H}=0;`$
* $`H<1/2`$, $`\rho <\mathrm{}`$ fixed and $`\eta =\eta (\epsilon )0`$ such that

(66) $`\underset{\epsilon 0}{lim}\epsilon \eta ^2=0;`$

the weak solutions $`W^\epsilon `$ of the Wigner-Moyal equation (16) with the initial condition $`W_0L^2(^{2d})`$ converges in distribution in the space $`D([0,\mathrm{});L_w^2(^{2d}))`$ to the martingale solution of the Liouville equation of the Gaussian white-noise model with the covariance operators $`\overline{𝒬}`$ and $`\overline{𝒬}_0`$ as given by (34) and (2.2), respectively (see also (41) and (43)).

Note that the Kolmogorov value $`H=1/3`$ is covered by the regimes of Theorem 1 and Theorem 2(i), (iii).

###### Remark 2.

As we have seen above, most of the assumptions here are motivated by the Gaussian case and we have formulated them in such a way as to allow a significant level of non-Gaussian fluctuation. In the Gaussian case, we have seen that $`\alpha `$ in (64) and (66) can be chosen to be any value in $`(0,1/4)`$.

###### Remark 3.

Both Theorem 1 and 2 can be viewed as a construction (and the convergence) of approximate solutions (via Remark 1) to the Gaussian white-noise models which are widely used in practical applications , .

## 3. Proof of Theorem 1 and 2

### 3.1. Tightness

In the sequel we will adopt the following notation

(67) $`f_zf(W_z^\epsilon ,\theta ),f_z^{}f^{}(W_z^\epsilon ,\theta ),f_z^{\prime \prime }f^{\prime \prime }(W_z^\epsilon ,\theta ),fC^{\mathrm{}}().`$
Namely, the prime stands for the differentiation w.r.t. the original argument (not $`z`$) of $`f,f^{}`$ etc. Let $`L`$ denote the radius of the ball containing the support of $`_2^1\theta `$. Let all the constants $`c,c^{},c_1,c_2,\mathrm{}`$ etc in the sequel be independent of $`\rho ,\eta ,\gamma `$ and $`\epsilon `$ and depend only on $`z_0,\theta ,W_0_2`$ and $`f`$.

First we note that since $`𝒮`$ is dense in $`L^2(^{2d})`$ and $`W_z^\epsilon _2W_0_2,z>0`$, the tightness of the family of $`L^2(^{2d})`$-valued processes $`\{W^\epsilon ,0<\epsilon <1\}`$ in $`D([0,\mathrm{});L_w^2(^{2d})`$ is equivalent to the tightness of the family in $`D([0,\mathrm{});𝒮^{})`$ as distribution-valued processes. According to , a family of processes $`\{W^\epsilon ,0<\epsilon <1\}D([0,\mathrm{});𝒮^{})`$ is tight if and only if for every test function $`\theta 𝒮`$ the family of processes $`\{W^\epsilon ,\theta ,0<\epsilon <1\}D([0,\mathrm{});)`$ is tight. With this remark we can now use the tightness criterion of  (Chap. 3, Theorem 4) for finite dimensional processes, namely, we will prove: Firstly,

(68) $`\underset{N\mathrm{}}{lim}\underset{\epsilon 0}{lim\; sup}\{\underset{z<z_0}{sup}|W_z^\epsilon ,\theta |N\}=0,z_0<\mathrm{}.`$
Secondly, for each $`fC^{\mathrm{}}()`$ there is a sequence $`f_z^\epsilon 𝒟(𝒜^\epsilon )`$ such that for each $`z_0<\mathrm{}`$ $`\{𝒜^\epsilon f_z^\epsilon ,0<\epsilon <1,0<z<z_0\}`$ is uniformly integrable and

(69) $`\underset{\epsilon 0}{lim}\{\underset{z<z_0}{sup}|f_z^\epsilon f(W_z^\epsilon ,\theta )|\delta \}=0,\delta >0.`$
Then it follows that the laws of $`\{W^\epsilon ,\theta ,0<\epsilon <1\}`$ are tight in the space of $`D([0,\mathrm{});)`$ and hence $`\{W_z^\epsilon \}`$ is tight in $`D([0,\mathrm{});L_w^2(^{2d}))`$.

Condition (68) is satisfied because the $`L^2`$-norm is preserved.

We shall construct a test function of the form $`f_z^\epsilon =f_z+f_{1,z}^\epsilon +f_{2,z}^\epsilon +f_{3,z}^\epsilon .`$ First we construct the first perturbation $`f_{1,z}^\epsilon `$. Let

$$\stackrel{~}{V}_z^\epsilon =\stackrel{~}{V}_{z/\epsilon ^2}.$$

Recall that

$$𝒜^\epsilon \stackrel{~}{V}_z^\epsilon =\epsilon ^2V_z^\epsilon .$$

Let

$`f_{1,z}^\epsilon `$ $``$ $`{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}{\displaystyle _z^{\mathrm{}}}f_z^{}W_z^\epsilon ,𝔼_z^\epsilon _s^\epsilon \theta 𝑑s`$
$`=`$ $`\stackrel{~}{k}\epsilon f_z^{}_2^1W_z^\epsilon ,\gamma ^1\delta _\gamma {\displaystyle _z^{\mathrm{}}}𝔼_z[V_s^\epsilon ]𝑑s_2^1\theta `$
$`=`$ $`\stackrel{~}{k}\epsilon f_z^{}_2^1W_z^\epsilon ,\gamma ^1\delta _\gamma \stackrel{~}{V}_z^\epsilon _2^1\theta `$
$`=`$ $`\stackrel{~}{k}\epsilon f_z^{}W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta `$
be the 1-st perturbation of $`f_z`$.

###### Proposition 1.

$$\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|f_{1,z}^\epsilon |=0,\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}|f_{1,z}^\epsilon |=0\text{in probability}$$

.

###### Proof.

First

$`𝔼[|f_{1,z}^\epsilon |]`$ $``$ $`\epsilon f^{}_{\mathrm{}}W_0_2𝔼\stackrel{~}{}_z^\epsilon \theta _2`$
$``$ $`c\epsilon f^{}_{\mathrm{}}W_0_2\underset{|𝐱|,|𝐲|L}{sup}𝔼^{1/2}\left[\gamma ^1\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\right]^2`$
(72) $`=`$ $`O\left(\epsilon \eta ^1|\mathrm{min}(\rho ,\gamma ^1)|^{1H}\right)`$
which is of the following order of magnitude:

(77) $`\{\begin{array}{ccc}\epsilon ,\hfill & & \text{if }\eta ,\rho \text{ held fixed}\hfill \\ \epsilon ,\hfill & & \text{if }\gamma ,\eta \text{ held fixed}\hfill \\ \epsilon \eta ^1,\hfill & & \text{if }\gamma \text{ or }\rho \text{ held fixed}\hfill \\ \epsilon |\mathrm{min}(\rho ,\gamma ^1)|^{1H},\hfill & & \text{if }\eta \text{ is held fixed}.\hfill \end{array}`$
and vanishes in the respective regimes. Secondly, we have

(78) $`\underset{z<z_0}{sup}|f_{1,z}^\epsilon |`$ $``$ $`\epsilon f^{}_{\mathrm{}}W_0_2\underset{z<z_0}{sup}\gamma ^1\delta _\gamma \stackrel{~}{V}_z^\epsilon _2^1\theta _2`$
$``$ $`c\epsilon ^{1/2}\underset{|𝐱|,|𝐲|L}{sup}𝔼^{1/2}|\gamma ^1\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)|^2`$
$`=`$ $`O\left(\epsilon ^{1/2}\eta ^1|\mathrm{min}(\rho ,\gamma ^1)|^{1H}+\epsilon ^{1/2}\eta ^1\rho ^{2H}\right)`$
by (61), with a random constant $`c`$ possessing finite moments, which is of the following order of magnitude:

(84) $`\{\begin{array}{ccc}\epsilon ^{1/2},\hfill & & \text{if }\eta ,\rho \text{ held fixed}\hfill \\ \epsilon ^{1/2},\hfill & & \text{if }\gamma ,\eta \text{ held fixed}\hfill \\ \epsilon ^{1/2}\eta ^1\rho ^{2H},\hfill & & \text{if }\gamma \text{ held fixed}\hfill \\ \epsilon ^{1/2}\eta ^1,\hfill & & \text{if }\rho \text{ held fixed}\hfill \\ \epsilon ^{1/2}|\mathrm{min}(\rho ,\gamma ^1)|^{1H},\hfill & & \text{if }\eta \text{ is held fixed}.\hfill \end{array}`$
which vanishes in the respective regimes. The right side of (78) now converges to zero in probability by a simple application of Chebyshev’s inequality and assumption (64). ∎

A straightforward calculation yields

$`𝒜^\epsilon f_1^\epsilon `$ $`=`$ $`\stackrel{~}{k}\epsilon f_z^{}W_z^\epsilon ,\left[{\displaystyle \frac{𝐩}{\stackrel{~}{k}}}+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}_z^\epsilon \right]\stackrel{~}{}_z^\epsilon \theta {\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}f_z^{}W_z^\epsilon ,_z^\epsilon \theta +\stackrel{~}{k}\epsilon f_z^{\prime \prime }W_z^\epsilon ,𝒜^\epsilon \theta W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta `$
where $`𝒜^\epsilon \theta `$ denotes

$$𝒜^\epsilon \theta =\frac{1}{\stackrel{~}{k}}𝐩_𝐱\theta \frac{\stackrel{~}{k}}{\epsilon }_z^\epsilon \theta $$

cf. (28). Hence

$`𝒜^\epsilon \left[f_z+f_{1,z}^\epsilon \right]`$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}f_z^{}W_z^\epsilon ,𝐩_𝐱\theta +\stackrel{~}{k}^2f_z^{}W_z^\epsilon ,_z^\epsilon \stackrel{~}{}_z^\epsilon \theta +\stackrel{~}{k}^2f_z^{\prime \prime }W_z^\epsilon ,_z^\epsilon \theta W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta `$
$`+\epsilon \left[f_z^{}W_z^\epsilon ,𝐩_𝐱\stackrel{~}{}_z^\epsilon \theta +f_z^{\prime \prime }W_z^\epsilon ,𝐩_𝐱\theta W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta \right]`$
$`=`$ $`A_1^\epsilon (z)+A_2^\epsilon (z)+A_3^\epsilon (z)+A_4^\epsilon (z)`$
where $`A_2^\epsilon (z)`$ and $`A_3^\epsilon (z)`$ are the coupling terms.

###### Proposition 2.

$$\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|A_4^\epsilon (z)|=0$$

.

###### Proof.

By Lemma 2 we have

$`|A_4^\epsilon |`$ $``$ $`\epsilon f^{\prime \prime }_{\mathrm{}}W_0_2^2\left[𝐩_𝐱\theta _2\stackrel{~}{}_z^\epsilon \theta _2+𝐩_𝐱(\stackrel{~}{}_z^\epsilon \theta )_2\right]`$
which is of the following order of magnitude

(89) $`\{\begin{array}{ccc}\epsilon ,\hfill & & \text{if }\eta ,\rho \text{ held fixed}\hfill \\ \epsilon \rho ^{2H},\hfill & & \text{if }\eta ,\gamma \text{ held fixed}\hfill \\ \epsilon \eta ^1,\hfill & & \text{if }\rho \text{ is held fixed}\hfill \\ \epsilon (|\mathrm{min}(\rho ,\gamma ^1)|^{1H}+\rho ^{2H}),\hfill & & \text{if }\eta \text{ held fixed}\hfill \end{array}`$
and vanishes in the respective regimes. ∎

We introduce the next perturbations $`f_{2,z}^\epsilon ,f_{3,z}^\epsilon `$. Let

(90) $`A_2^{(1)}(\varphi )`$ $``$ $`{\displaystyle \varphi (𝐱,𝐩)𝒬_1(\theta \theta )(𝐱,𝐩,𝐲,𝐪)\varphi (𝐲,𝐪)𝑑𝐱𝑑𝐩𝑑𝐲𝑑𝐪}`$
(91) $`A_1^{(1)}(\varphi )`$ $``$ $`{\displaystyle 𝒬_1^{}\theta (𝐱,𝐩)\varphi (𝐱,𝐩)𝑑𝐱𝑑𝐩}`$
where

(92) $`𝒬_1(\theta \theta )(𝐱,𝐩,𝐲,𝐪)`$ $`=`$ $`𝔼\left[_z^\epsilon \theta (𝐱,𝐩)\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)\right]`$
and

$$𝒬_1^{}\theta (𝐱,𝐩)=𝔼\left[_z^\epsilon \stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)\right]$$

where the operator $`\stackrel{~}{}_z^\epsilon `$ is defined as in (57). Note that $`𝒬_1\theta `$ and $`𝒬_1^{}\theta `$ are $`O(1)`$ terms because of (2.5).

Clearly, we have

(93) $`A_2^{(1)}(\varphi )=𝔼\left[\varphi ,_z^\epsilon \theta \varphi ,\stackrel{~}{}_z^\epsilon \theta \right].`$
Define

$`f_{2,z}^\epsilon `$ $`\stackrel{~}{k}^2f_z^{\prime \prime }{\displaystyle _z^{\mathrm{}}}𝔼_z^\epsilon \left[W_z^\epsilon ,_s^\epsilon \theta W_z^\epsilon ,\stackrel{~}{}_s^\epsilon \theta A_2^{(1)}(W_z^\epsilon )\right]𝑑s`$
$`f_{3,z}^\epsilon `$ $`\stackrel{~}{k}^2f_z^{}{\displaystyle _z^{\mathrm{}}}𝔼_z^\epsilon \left[W_z^\epsilon ,_s^\epsilon \stackrel{~}{}_s^\epsilon \theta A_3^{(1)}(W_z^\epsilon )\right]𝑑s.`$
Let

$$𝒬_2(\theta \theta )(𝐱,𝐩,𝐲,𝐪)𝔼\left[\stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)\right]$$

and

$$𝒬_2^{}\theta (𝐱,𝐩)=𝔼\left[\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)\right].$$

Let

(94) $`A_2^{(2)}(\varphi )`$ $``$ $`{\displaystyle \varphi (𝐱,𝐩)𝒬_2(\theta \theta )(𝐱,𝐩,𝐲,𝐪)\varphi (𝐲,𝐪)𝑑𝐱𝑑𝐩𝑑𝐲𝑑𝐪}`$
(95) $`A_1^{(2)}(\varphi )`$ $``$ $`{\displaystyle 𝒬_2^{}\theta (𝐱,𝐩)\varphi (𝐱,𝐩)𝑑𝐱𝑑𝐩}`$
we then have

(96) $`f_{2,z}^\epsilon `$ $`=`$ $`{\displaystyle \frac{\epsilon ^2\stackrel{~}{k}^2}{2}}f_z^{\prime \prime }\left[W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta ^2A_2^{(2)}(W_z^\epsilon )\right]`$
(97) $`f_{3,z}^\epsilon `$ $`=`$ $`{\displaystyle \frac{\epsilon ^2\stackrel{~}{k}^2}{2}}f_z^{}\left[W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta A_3^{(2)}(W_z^\epsilon )\right].`$
###### Proposition 3.

$$\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|f_{j,z}^\epsilon |=0,\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}|f_{j,z}^\epsilon |=0,j=2,3.$$

###### Proof.

We have the bounds

$`\underset{z<z_0}{sup}𝔼|f_{2,z}^\epsilon |`$ $``$ $`\underset{z<z_0}{sup}\epsilon ^2\stackrel{~}{k}^2f^{\prime \prime }_{\mathrm{}}\left[W_0_2^2𝔼\stackrel{~}{}_z^\epsilon \theta _2^2+𝔼[A_2^{(2)}(W_z^\epsilon )]\right]`$
$`\underset{z<z_0}{sup}𝔼|f_{3,z}^\epsilon |`$ $``$ $`\underset{z<z_0}{sup}\epsilon ^2\stackrel{~}{k}^2f^{}_{\mathrm{}}\left[W_0_2𝔼\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2+𝔼[A_1^{(2)}(W_z^\epsilon )]\right].`$
The first term can be estimated as in (77); the second term can by estimated as in (77) by using the (3).

As for estimating $`sup_{z<z_0}|f_{j,z}^\epsilon |,j=2,3`$, we have

$`\underset{z<z_0}{sup}|f_{2,z}^\epsilon |`$ $``$ $`\underset{z<z_0}{sup}\epsilon ^2\stackrel{~}{k}^2f^{\prime \prime }_{\mathrm{}}\left[W_0_2^2\stackrel{~}{}_z^\epsilon \theta _2^2+A_2^{(2)}(W_z^\epsilon )\right]`$
$`\underset{z<z_0}{sup}|f_{3,z}^\epsilon |`$ $``$ $`\underset{z<z_0}{sup}\epsilon ^2\stackrel{~}{k}^2f^{}_{\mathrm{}}\left[W_0_2\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2+A_1^{(2)}(W_z^\epsilon )\right].`$
Using the assumption (61) we can estimate the right side of the above as in (84).

We have

$`𝒜^\epsilon f_{2,z}^\epsilon `$ $`=`$ $`\stackrel{~}{k}^2f_z^{\prime \prime }\left[W_z^\epsilon ,_z^\epsilon \theta W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta +A_2^{(1)}(W_z^\epsilon )\right]+R_2^\epsilon (z)`$
$`𝒜^\epsilon f_{3,z}^\epsilon `$ $`=`$ $`\stackrel{~}{k}^2f_z^{}\left[W_z^\epsilon ,_z^\epsilon \stackrel{~}{}_z^\epsilon \theta +A_3^{(1)}(W_z^\epsilon )\right]+R_3^\epsilon (z)`$
with

(98) $`R_2^\epsilon (z)`$ $`=`$ $`\epsilon ^2{\displaystyle \frac{\stackrel{~}{k}^2}{2}}f_z^{\prime \prime \prime }\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱\theta +{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon \theta \right]\left[W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta ^2A_2^{(2)}(W_z^\epsilon )\right]`$
$`+\epsilon ^2\stackrel{~}{k}^2f_z^{\prime \prime }W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \theta \left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱(\stackrel{~}{}_z^\epsilon \theta )+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon \stackrel{~}{}_z^\epsilon \theta \right]`$
$`\epsilon ^2\stackrel{~}{k}^2f_z^{}\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱(G_\theta ^{(2)}W_z^\epsilon )+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon G_\theta ^{(2)}W_z^\epsilon \right]`$
where $`G_\theta ^{(2)}`$ denotes the operator

$$G_\theta ^{(2)}\varphi 𝒬_2(\theta \theta )(𝐱,𝐩,𝐲,𝐪)\varphi (𝐲,𝐪)𝑑𝐲𝑑𝐪.$$

Similarly

(99) $`R_3^\epsilon (z)`$ $`=`$ $`\epsilon ^2\stackrel{~}{k}^2f_z^{}\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱(\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta )+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon \stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta \right]`$
$`+\epsilon ^2{\displaystyle \frac{\stackrel{~}{k}^2}{2}}f_z^{\prime \prime }\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱\theta +{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon \theta \right]\left[W_z^\epsilon ,\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta A_1^{(2)}(W_z^\epsilon )\right]`$
$`\epsilon ^2\stackrel{~}{k}^2f_z^{}\left[{\displaystyle \frac{1}{\stackrel{~}{k}}}W_z^\epsilon ,𝐩_𝐱(𝒬_2^{}\theta )+{\displaystyle \frac{\stackrel{~}{k}}{\epsilon }}W_z^\epsilon ,_z^\epsilon 𝒬_2^{}\theta \right].`$
###### Proposition 4.

$$\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|R_2^\epsilon (z)|=0,\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|R_3^\epsilon (z)|=0.$$

###### Proof.

Part of the argument is analogous to that given for Proposition 3. The additional estimates that we need to consider are the following.

In $`R_2^\epsilon `$ (98):

$`\underset{z<z_0}{sup}\epsilon ^2𝔼\left|W_z^\epsilon ,𝐩_𝐱(G_\theta ^{(2)}W_z^\epsilon )\right|`$
$``$ $`c\epsilon ^2\gamma ^2W_0_2𝔼\{_𝐲_𝐱_2^1\theta (𝐱,𝐲)`$
$`\times {\displaystyle }𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱^{},𝐲^{})\right]_2^1\theta (𝐱^{},𝐲^{})_2^1W_z^\epsilon (𝐱^{},𝐲^{})d𝐱^{}d𝐲^{}_2\}`$
$``$ $`c\epsilon ^2\gamma ^2W_0_2𝔼\left\{_𝐲_𝐱_2^1\theta (𝐱,𝐲)𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\right]^2{\displaystyle }|_2^1\theta (𝐱^{},𝐲^{})_2^1W_z^\epsilon (𝐱^{},𝐲^{})|d𝐱^{}d𝐲^{}_2\right\}`$
$``$ $`c\epsilon ^2\gamma ^2W_0_2_𝐲_𝐱_2^1\theta 𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2_2𝔼_2^1\theta _2^1W_z^\epsilon _2`$
$``$ $`c\epsilon ^2\gamma ^2\theta _2W_0_2^2_𝐲_𝐱_2^1\theta 𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2_2`$
$``$ $`c\theta _2W_0_2^2\epsilon ^2\gamma ^1[_2^1_𝐱_𝐱\theta ](𝐱,𝐲)𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)_2`$
$`+c\theta _2W_0_2^2\epsilon ^2\gamma ^2[_2^1_𝐱\theta ](𝐱,𝐲)_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)_2`$
$``$ $`c\theta _2W_0_2^2\epsilon ^2\gamma ^1\underset{|𝐲|L}{sup}𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)+c\theta _2W_0_2^2\epsilon ^2\gamma ^2\underset{|𝐲|L}{sup}\left|_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right|`$
$``$ $`O\left(\epsilon ^2\eta ^2\gamma |\mathrm{min}(\rho ,\gamma ^1)|^{22H}+\epsilon ^2\eta ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}\right)`$
by Lemma 2 where $`L`$ is the radius of the ball containing the support of $`\theta `$. Further delineation yields

$`\underset{z<z_0}{sup}\epsilon ^2𝔼\left|W_z^\epsilon ,𝐩_𝐱(G_\theta ^{(2)}W_z^\epsilon )\right|=\{\begin{array}{cc}\epsilon ^2\hfill & \text{if }\eta ,\rho \text{ held fixed}\hfill \\ \epsilon ^2\rho ^{1H}\hfill & \text{if }\eta ,\gamma \text{ held fixed}\hfill \\ \epsilon ^2\eta ^2\rho ^{1H}\hfill & \text{if }\gamma \text{ held fixed}\hfill \\ \epsilon ^2\eta ^2\hfill & \text{if }\rho \text{ held fixed}\hfill \\ \epsilon ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}\hfill & \text{if }\eta \text{ held fixed}.\hfill \end{array}`$
Consider the next term:

$`\underset{z<z_0}{sup}\epsilon 𝔼\left|W_z^\epsilon ,_z^\epsilon G_\theta ^{(2)}W_z^\epsilon \right|`$
$``$ $`c\epsilon ^2\gamma ^3W_0_2𝔼\{\delta _\gamma V_z^\epsilon (𝐱,𝐲)_2^1\theta (𝐱,𝐲)`$
$`\times {\displaystyle }𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱^{},𝐲^{})\right]_2^1\theta (𝐱^{},𝐲^{})_2^1W_z^\epsilon (𝐱^{},𝐲^{})d𝐱^{}d𝐲^{}_2\}`$
$``$ $`c\epsilon ^2\gamma ^3W_0_2𝔼\{\delta _\gamma V_z^\epsilon (𝐱,𝐲)_2^1\theta (𝐱,𝐲)𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\right]^2`$
$`\times {\displaystyle }\left|_2^1\theta (𝐱^{},𝐲^{})_2^1W_z^\epsilon (𝐱^{},𝐲^{})\right|d𝐱^{}d𝐲^{}_2\}`$
$``$ $`c\epsilon ^2\gamma ^3\theta _2W_0_2^2𝔼\delta _\gamma V_z^\epsilon (𝐱,𝐲)_2^1\theta 𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2_2`$
$``$ $`O\left(\epsilon ^2\eta ^2|\mathrm{min}(\rho ,\gamma ^1)|^{33H}\right)`$
by Corollary 3.

In $`R_3^\epsilon `$ (99):

$`\underset{z<z_0}{sup}\epsilon 𝔼\left|W_z^\epsilon ,_z^\epsilon \stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta \right|`$ $``$ $`\epsilon W_0_2\underset{z<z_0}{sup}\sqrt{𝔼_z^\epsilon \stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2}`$
$`=`$ $`O\left(\epsilon \gamma ^3\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)𝔼^{1/2}\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)\right)`$
$`=`$ $`O\left(\epsilon \eta ^2|\mathrm{min}(\rho ,\gamma ^1)|^{33H}\right),`$
by (3) and Lemma 2, which can be further delineated in the various regimes as

$`\{\begin{array}{cc}\epsilon \hfill & \text{if }\rho \text{ and }\eta \text{ held fixed}\hfill \\ \epsilon \hfill & \text{if }\gamma \text{ and }\eta \text{ held fixed}\hfill \\ \epsilon \eta ^2\hfill & \text{if }\gamma \text{ or }\rho \text{ held fixed}\hfill \\ \epsilon |\mathrm{min}(\rho ,\gamma ^1)|^{33H}\hfill & \text{if }\eta \text{ held fixed};\hfill \end{array}`$
$`\epsilon ^2𝔼\left|W_z^\epsilon ,𝐩_𝐱(𝒬_2^{}\theta )\right|`$ $``$ $`\epsilon ^2\sqrt{𝔼\left|W_z^\epsilon ,𝐩_𝐱(𝒬_2^{}\theta )\right|^2}`$
$``$ $`c\epsilon ^2\gamma ^2W_0_2_𝐲_𝐱𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\right]^2_2^1\theta (𝐱,𝐲)_2`$
$`=`$ $`O\left(\epsilon ^2\gamma ^2𝔼_{|𝐲|L}\left|_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right|\right)`$
$`=`$ $`O\left(\epsilon ^2\eta ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}\right)`$
which in the various regimes has the following order of magnitude

$`\{\begin{array}{cc}\epsilon ^2\hfill & \text{if }\rho \text{ and }\eta \text{ held fixed}\hfill \\ \epsilon ^2\rho ^{1H}\hfill & \text{if }\gamma \text{ and }\eta \text{ held fixed}\hfill \\ \epsilon ^2\eta ^2\rho ^{1H}\hfill & \text{if }\gamma \text{ held fixed}\hfill \\ \epsilon ^2\eta ^2\hfill & \text{if }\rho \text{ held fixed}\hfill \\ \epsilon ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}\hfill & \text{if }\eta \text{ held fixed};\hfill \end{array}`$
$`\epsilon 𝔼\left|W_z^\epsilon ,_z^\epsilon 𝒬_2^{}\theta \right|`$ $``$ $`\epsilon \sqrt{𝔼\left|W_z^\epsilon ,_z^\epsilon 𝒬_2^{}\theta \right|^2}`$
$``$ $`c\epsilon ^2\gamma ^3W_0_2𝔼\delta _\gamma V_z^\epsilon (𝐱,𝐲)𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱,𝐲)\right]^2_2^1\theta (𝐱,𝐲)_2`$
$`=`$ $`O\left(\epsilon ^2\gamma ^3\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)𝔼^{1/2}\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)\right)`$
$`=`$ $`O\left(\epsilon ^2\eta ^2|\mathrm{min}(\rho ,\gamma ^1)|^{33H}\right)`$
by Lemma 2. ∎

Consider the test function $`f_z^\epsilon =f_z+f_{1,z}^\epsilon +f_{2,z}^\epsilon +f_{3,z}^\epsilon `$. We have

(105) $`𝒜^\epsilon f_z^\epsilon `$ $`=`$ $`{\displaystyle \frac{1}{\stackrel{~}{k}}}f_z^{}W_z^\epsilon ,𝐩_𝐱\theta +\stackrel{~}{k}^2f_z^{\prime \prime }A_2^{(1)}(W_z^\epsilon )+\stackrel{~}{k}^2f^{}A_1^{(1)}(W_z^\epsilon )+R_2^\epsilon (z)+R_3^\epsilon (z)+A_4^\epsilon (z).`$
Set

(106) $`R^\epsilon (z)=R_1^\epsilon (z)+R_2^\epsilon (z)+R_3^\epsilon (z),\text{with}R_1^\epsilon (z)=A_4^\epsilon (z).`$
It follows from Propositions 2 and 4 that

$$\underset{\epsilon 0}{lim}\underset{z<z_0}{sup}𝔼|R^\epsilon (z)|=0.$$

For the tightness it remains to show

###### Proposition 5.

$`\{𝒜^\epsilon f_z^\epsilon \}`$ are uniformly integrable.

###### Proof.

We shall prove that each term in the expression (105) is uniformly integrable. We only need to be concerned with terms in $`R^\epsilon (z)`$ since other terms are obviously uniformly integrable because $`W_z^\epsilon `$ is uniformly bounded in the square norm. But since the previous estimates establish the uniform boundedness of the second moments of the corresponding terms, the uniform integrability of the terms follow.

### 3.2. Identification of the limit

Our strategy is to show directly that in passing to the weak limit the limiting process solves the martingale problem formulated in Section 2.1. The uniqueness of the martingale solution mentioned in Section 2.4 then identifies the limiting process as the unique $`L^2(^{2d})`$-valued solution to the initial value problem of the stochastic PDE (37).

Recall that for any $`C^2`$-function $`f`$

$`M_z^\epsilon (\theta )`$ $`=`$ $`f_z^\epsilon {\displaystyle _0^z}𝒜^\epsilon f_s^\epsilon 𝑑s`$
$`=`$ $`f_z+f_1^\epsilon (z)+f_2^\epsilon (z)+f_3^\epsilon (z){\displaystyle _0^z}{\displaystyle \frac{1}{\stackrel{~}{k}}}f_z^{}W_z^\epsilon ,𝐩_𝐱\theta 𝑑s`$
$`{\displaystyle _0^z}\stackrel{~}{k}^2\left[f_s^{\prime \prime }A_2^{(1)}(W_s^\epsilon )+f_s^{}A_1^{(1)}(W_s^\epsilon )\right]𝑑s{\displaystyle _0^z}R^\epsilon (s)𝑑s`$
is a martingale. The martingale property implies that for any finite sequence $`0<z_1<z_2<z_3<\mathrm{}<z_nz`$, $`C^2`$-function $`f`$ and bounded continuous function $`h`$ with compact support, we have

(108) $`𝔼\left\{h(W_{z_1}^\epsilon ,\theta ,W_{z_2}^\epsilon ,\theta ,\mathrm{},W_{z_n}^\epsilon ,\theta )\left[M_{z+s}^\epsilon (\theta )M_z^\epsilon (\theta )\right]\right\}`$ $`=`$ $`0,`$
$`s>0,z_1z_2\mathrm{}z_nz.`$
Let

$$\overline{𝒜}f_zf_s^{}\left[\frac{1}{\stackrel{~}{k}}W_z,𝐩_𝐱\theta +\stackrel{~}{k}^2\overline{A}_1(W_z)\right]+\stackrel{~}{k}^2f_z^{\prime \prime }\overline{A}_2(W_z)$$

where

(109) $`\overline{A}_2(\theta )=\underset{\rho \mathrm{}}{lim}A_2^{(1)}(\theta )=\overline{Q}(\theta \theta ),\overline{A}_1(\theta )=\underset{\rho \mathrm{}}{lim}A_1^{(1)}(\theta )=\overline{Q}_0(\theta )`$
as given in (2.2) and (32), respectively. For $`\rho \mathrm{},\gamma 0`$ as $`\epsilon 0`$ the limits in (109) are not well-defined unless $`H(0,1/2)`$ in the worst case scenario allowed by (7). Likewise, the convergence does not hold for $`H[1/2,1)`$ when $`\eta 0`$ in the worst case scenario allowed by (7).

For each possible limit process in $`D([0,\mathrm{});L_w^2(^{2d}))`$ there is at most a countable set of discontinuous points with a positive probability and we consider all the finite set $`\{z_1,\mathrm{},z_n\}`$ in (108) to be outside of the set of discontinuity.

In view of the results of Propositions 1, 2, 3, 4 we see that $`f_z^\epsilon `$ and $`𝒜^\epsilon f_z^\epsilon `$ in (3.2) can be replaced by $`f_z`$ and $`\overline{𝒜}f_z`$, respectively, modulo an error that vanishes as $`\epsilon 0`$. With this and the tightness of $`\{W_z^\epsilon \}`$ we can pass to the limit $`\epsilon 0`$ in (108). We see that the limiting process satisfies the martingale property that

$`𝔼\left\{h(W_{z_1},\theta ,W_{z_2},\theta ,\mathrm{},W_{z_n},\theta )\left[M_{z+s}(\theta )M_z(\theta )\right]\right\}=0,s>0.`$
where

(110)
$$M_z(\theta )=f_z_0^z\overline{𝒜}f_s𝑑s.$$

Then it follows that

$$𝔼\left[M_{z+s}(\theta )M_z(\theta )|W_u,uz\right]=0,z,s>0$$

which proves that $`M_z(\theta )`$ is a martingale.

Note that $`W_z^\epsilon ,\theta `$ is uniformly bounded:

$$\left|W_z^\epsilon ,\theta \right|W_0_2\theta _2$$

so we have the convergence of the second moment

$$\underset{\epsilon 0}{lim}𝔼\left\{W_z^\epsilon ,\theta ^2\right\}=𝔼\left\{W_z,\theta ^2\right\}.$$

Using $`f(r)=r`$ and $`r^2`$ in (110) we see that

$$M_z^{(1)}(\theta )=W_z,\theta _0^z\left[\frac{1}{\stackrel{~}{k}}W_s,𝐩_𝐱\theta \stackrel{~}{k}^2\overline{A}_3(W_s)\right]𝑑s$$

is a martingale with the quadratic variation

$$[M^{(1)}(\theta ),M^{(1)}(\theta )]_z=\stackrel{~}{k}^2_0^z\overline{A}_2(W_s)𝑑s=\stackrel{~}{k}^2_0^zW_s,\overline{𝒦}_\theta W_s𝑑s$$

where $`\overline{𝒦}_\theta `$ is defined as in (31).

## Appendix A Mixing coefficients and moment estimates for $`\stackrel{~}{V}_z`$

Let $`_z`$ and $`_z^+`$ be the sigma-algebras generated by $`\{V_s:sz\}`$ and $`\{V_s:sz\}`$, respectively.

Consider the strong mixing coefficient

$`\alpha (t)`$ $`=`$ $`\underset{A_{z+t}^+}{sup}\underset{B_z}{sup}|P(AB)P(A)P(B)|`$
$`=`$ $`{\displaystyle \frac{1}{2}}\underset{A_{z+t}}{sup}𝔼[|P(A|_z)P(A)|]`$
which can be used to bound the first order moment:

$$𝔼[|𝔼[V_s|_z]|]8\alpha (sz)^{1/p}[𝔼|V_s|^q]^{1/q},s>z,p^1+q^1=1$$

(, Corollary 2.4). Hence the integrability of $`\alpha (t)`$ implies that $`\stackrel{~}{V}_z`$ has a finite first order moment.

To bound the higher order moments of $`\stackrel{~}{V}_z`$ one can consider, for example, the general $`L^p`$-mixing coefficients

$`\varphi _p(t)`$ $`=`$ $`\underset{A_{z+t}}{sup}𝔼^{1/p}[|P(A|_z)P(A)|^p],p[1,\mathrm{})`$
$`=`$ $`\underset{hL^p(P,_{z+t}^+)}{sup}\underset{\genfrac{}{}{0pt}{}{gL^q(P,_z)}{𝔼g^q=1,𝔼g=0}}{sup}𝔼[hg],p^1+q^1=1,p[1,\mathrm{})`$
We note that $`\alpha (t)=\varphi _1(t)`$ and for $`p=\mathrm{}`$

$`\varphi _{\mathrm{}}(t)`$ $`=`$ $`\underset{A_{t+z}^+}{sup}\underset{\genfrac{}{}{0pt}{}{B_z}{P(B)>0}}{sup}|P(A|B)P(A)|,t0`$
$`=`$ $`\underset{A_{t+z}^+}{sup}\text{ess-sup}_\omega |P(A|_z)P(A)|`$
$``$ $`\varphi (t)`$
is called the uniform mixing coefficient . In terms of $`\varphi _p`$ one has the following estimate

(111) $`|𝔼\left[h_1h_2\right]𝔼[h_1]𝔼[h_2]|2^{\mathrm{min}(q,2)}\varphi _p(t)^{1/u}𝔼^{1/(vp)}[h_2^{vp}]𝔼^{1/q}[h_1^q]`$
for $`u,v,p,q[1,\mathrm{}],u^1+v^1=1,p^1+q^1=1`$ and real-valued $`h_1L^q(\mathrm{\Omega },_z,P),h_2L^{vp}(\mathrm{\Omega },_{z+t}^+,P)`$ (see , Proposition 2.2). In particular, for $`q>2,v=q/p`$,

(112) $`|𝔼\left[h_1h_2\right]𝔼[h_1]𝔼[h_2]|4\varphi _p(t)^{(qp)/q}𝔼^{1/q}[h_2^q]𝔼^{1/q}[h_1^q],p^1+q^1=1`$
by which, along with the Hölder inequality, we can bound the second moment of $`\stackrel{~}{V}_z`$ as follows: First we observe that for $`s,\tau z`$ and $`h_1=𝔼_z(V_s),`$ $`h_2=V_\tau `$

$`𝔼\left[𝔼_z[V_s(𝐱)]𝔼_z[V_\tau (𝐱)]\right]=𝔼\left[𝔼_z[V_s(𝐱)]V_\tau (𝐱)\right]4\varphi _p(\tau z)^{(qp)/q}𝔼^{1/q}[V_z^q]𝔼^{1/q}[𝔼_z^q\left[V_s\right]].`$
By setting $`s=\tau `$ first and the Cauchy-Schwartz inequality we have

$`𝔼\left[𝔼_z^2[V_s]\right]`$ $``$ $`4\varphi _p(sz)^{(qp)/q}𝔼^{2/q}[V_z^q]`$
$`𝔼\left[𝔼_z[V_s(𝐱)]𝔼_z[V_\tau (𝐱)]\right]`$ $``$ $`4\varphi _p(sz)^{(qp)/(2q)}\varphi _p(\tau z)^{(qp)/(2q)}𝔼^{2/q}[V_z^q],s,\tau z.`$
Hence

$`𝔼[\stackrel{~}{V}_z^2]`$ $``$ $`2{\displaystyle _z^{\mathrm{}}}{\displaystyle _z^{\mathrm{}}}𝔼\left[𝔼_z[V_\tau ]𝔼_z\left[V_s\right]\right]𝑑s𝑑\tau +2{\displaystyle _0^{\mathrm{}}}{\displaystyle _0^{\mathrm{}}}𝔼\left[𝔼_0[V_\tau ]𝔼_0\left[V_s\right]\right]𝑑s𝑑\tau `$
$``$ $`8𝔼^{2/q}[V_z^q]\left({\displaystyle _0^{\mathrm{}}}\varphi _p(t)^{(qp)/(2q)}𝑑t\right)^2`$
$``$ $`8𝔼^{1/3}[V_z^6]\left({\displaystyle _0^{\mathrm{}}}\varphi _{6/5}^{2/5}(t)𝑑t\right)^2`$
which is finite if $`\varphi _{6/5}^{2/5}(t)`$ is integrable (if $`V_z`$ is assumed to have a finite 6-th order moment).

When $`V_z`$ is almost surely bounded, the preceding calculation with $`p=1,q=\mathrm{}`$ becomes

$`𝔼[\stackrel{~}{V}_z^2]`$ $``$ $`8\underset{q\mathrm{}}{lim}𝔼^{1/q}[V_z^q]\left({\displaystyle _0^{\mathrm{}}}\varphi _1^{1/2}(t)𝑑t\right)^2`$
which is finite when $`\varphi _1^{1/2}(t)`$ is integrable.

In order to bound higher order moments in the non-Gaussian case, one can assume the integrability of the uniform mixing coefficient $`\varphi (t)\varphi _{\mathrm{}}(t)`$. Then we have

$$|P(A|_z)P(A)|\varphi (sz),A_s,sz$$

and for $`p[1,\mathrm{}),p^1+q^1=1`$

(113) $`\left|𝔼[V_s|_z]\right|2^{1/p}\varphi ^{1/p}(sz)[𝔼[V_s^q|_z]+𝔼\left[V_s^q\right]]^{1/q}`$
(cf. , Proposition 2.6). Using (113) and the Höloder inequality repeatedly we obtain

(114) $`𝔼\left\{{\displaystyle _z^{\mathrm{}}}𝔼\left[V_s|_z\right]𝑑s\right\}^p`$ $``$ $`c\left[{\displaystyle _0^{\mathrm{}}}\varphi (s)𝑑s\right]^p𝔼[V_s^p].`$
Hence the integrability of $`\varphi (t)`$ implies that $`\stackrel{~}{V}_z`$ given by (50) has a finite moment of any order $`p<\mathrm{}`$ if $`V_z`$ has a finite moment of order $`p`$.

In summary we have

###### Proposition 1.

* Assume that $`𝔼[V_z^p]<\mathrm{},p[1,\mathrm{})`$. If the uniform ($`L^{\mathrm{}}`$-) mixing coefficient $`\varphi _{\mathrm{}}(t)`$ of $`V_z`$ is integrable then $`\stackrel{~}{V}_z`$ has finite moments of order $`p`$.
* Assume that $`𝔼[V_z^6]<\mathrm{}`$. If the $`2/5`$-power of the $`L^{6/5}`$-mixing coefficient $`\varphi _{6/5}(t)`$ is integrable, then $`\stackrel{~}{V}_z`$ has finite second moment.
* Assume $`V_z`$ is almost surely bounded. If the square-root of the alpha- ($`L^1`$-) mixing coefficient $`\varphi _1(t)`$ is integrable then $`\stackrel{~}{V}_z`$ has finite second moment.

## Appendix B Proof of Lemma 2

(i) Estimation of $`sup_{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}𝔼\left[\left(\delta _\gamma V_z^\epsilon \right)^2\right](𝐲):`$ We have that for $`\gamma \rho 1`$

$`\underset{|z|z_0}{sup}𝔼\left[\left(\delta _\gamma V_z^\epsilon (𝐱,𝐲)\right)^2\right]`$
$`=`$ $`\underset{|z|z_0}{sup}{\displaystyle 4|\mathrm{sin}(\gamma 𝐲𝐤/2)|^2\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤}`$
$``$ $`\underset{|z|z_0}{sup}{\displaystyle \left|\gamma 𝐲𝐤\right|^2\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤}`$
$``$ $`c_9\gamma ^2|𝐲|^2\underset{|z|z_0}{sup}{\displaystyle _{|\stackrel{}{𝐤}|\rho }}(\eta ^2+|𝐤|^2+|\xi |^2)^{H(d+1)/2}|𝐤|^{d+1}𝑑\xi d|𝐤|`$
$``$ $`c_{10}\gamma ^2|𝐲|^2\underset{|z|z_0}{sup}{\displaystyle _{|\xi |\rho }}{\displaystyle _{|𝐤|\rho }}(\eta ^2+|𝐤|^2+|\xi |^2)^{H(d+1)/2}|𝐤|^{d+1}d|𝐤|𝑑\xi `$
$``$ $`c_{11}\gamma ^2|𝐲|^2\underset{|z|z_0}{sup}{\displaystyle _{|\xi |\rho }}(\eta ^2+|\xi |^2)^{H+1/2}𝑑\xi `$
$``$ $`c_{12}\gamma ^2|𝐲|^2{\displaystyle _{|\xi |(\eta ,\rho )}}|\xi |^{2H+1}𝑑\xi `$
$``$ $`c_{13}\gamma ^2|𝐲|^2\left(\eta ^{22H}+\rho ^{22H}\right).`$
For $`\rho \gamma 1`$ we divide the domain of integration into $`I_0=\{|𝐤|\gamma ^1\}`$ and $`I_1=\{|𝐤|\gamma ^1\}`$ and estimate their contributions separately. For $`I_0`$ the upper bound is similar to the above, namely, we have

$`\underset{|z|z_0}{sup}{\displaystyle _{I_0}}4|\mathrm{sin}(\gamma 𝐲𝐤/2)|^2\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤`$ $``$ $`c_{13}\gamma ^2|𝐲|^2\left(\eta ^{22H}+\gamma ^{2+2H}\right).`$
For $`I_1`$ we have instead that

$`\underset{|z|z_0}{sup}{\displaystyle _{I_1}}4|\mathrm{sin}(\gamma 𝐲𝐤/2)|^2\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤`$
$``$ $`4\underset{|z|z_0}{sup}{\displaystyle _{I_1}}\mathrm{\Phi }_{(\eta ,\rho )}(\xi ,𝐤)𝑑\xi 𝑑𝐤`$
$``$ $`c_{14}\underset{|z|z_0}{sup}{\displaystyle _{|\xi |\rho }}{\displaystyle _{|𝐤|\rho }}(\eta ^2+|𝐤|^2+|\xi |^2)^{H(d+1)/2}|𝐤|^{d1}d|𝐤|𝑑\xi `$
$``$ $`c_{15}\underset{|z|z_0}{sup}{\displaystyle _{|\xi |\rho }}(\eta ^2+|\xi |^2)^{H1/2}𝑑\xi `$
$``$ $`c_{16}{\displaystyle _{|\xi |(\gamma ^1,\rho )}}|\xi |^{2H1}𝑑\xi `$
$``$ $`c_{17}\left(\gamma ^{2H}+\rho ^{2H}\right).`$
Put together, the upper bound becomes

$`\underset{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}{sup}𝔼\left[\left(\delta _\gamma V_z^\epsilon (𝐱,𝐲)\right)^2\right]`$ $``$ $`\stackrel{~}{C}\gamma ^2\left|\mathrm{min}(\gamma ^1,\rho )\right|^{22H},\gamma ,\eta 1\rho .`$
(ii) Estimation of $`sup_{|z|z_0}𝔼\left[\stackrel{~}{V}_z^\epsilon (𝐱)\right]^2`$: It follows from the argument for Corollary 1 that

$`𝔼\left[\stackrel{~}{V}_z^\epsilon (𝐱)\right]^2`$ $``$ $`\left({\displaystyle _0^{\mathrm{}}}r_{\eta ,\rho }(t)𝑑t\right)^2𝔼[V_z^\epsilon ]^2`$
$``$ $`c\eta ^2\left({\displaystyle _0^{\mathrm{}}}r_{1,\rho }(t)𝑑t\right)^2\eta ^{2H}.`$
(iii) Estimation of $`sup_{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}𝔼\left[\left(\delta _\gamma \stackrel{~}{V}_z^\epsilon \right)^2\right](𝐲)`$: First note that the correlation coefficient for $`\delta _\gamma \stackrel{~}{V}_z^\epsilon `$ is bounded from above by $`cr(t)`$ for some constant $`c>0`$. Then we have as above that

$`𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐱)\right]^2`$ $``$ $`c_1\left({\displaystyle _0^{\mathrm{}}}r_{\eta ,\rho }(t)𝑑t\right)^2𝔼[\delta _\gamma V_z^\epsilon ]^2`$
$``$ $`c_2\eta ^2\left({\displaystyle _0^{\mathrm{}}}r_{1,\rho }(t)𝑑t\right)^2\gamma ^2\left|\mathrm{min}(\gamma ^1,\rho )\right|^{22H}.`$
(iv) Estimation of $`sup_{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}\left|_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right|`$: By the Cauchy-Schwartz inequality and the preceding calculation we have

$`\underset{\genfrac{}{}{0pt}{}{|z|z_0}{|𝐲|L}}{sup}\left|_𝐲𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2(𝐲)\right|`$
$``$ $`c_1\sqrt{\gamma 𝔼\left[_𝐱\stackrel{~}{V}^\epsilon (𝐱+\gamma 𝐲/2)+_𝐱\stackrel{~}{V}^\epsilon (𝐱\gamma 𝐲/2)\right]^2}\sqrt{𝔼\left[\delta _\gamma \stackrel{~}{V}^\epsilon (𝐱,𝐲)\right]^2}`$
$``$ $`c_3\left({\displaystyle _0^{\mathrm{}}}r_{\eta ,\rho }(t)𝑑t\right)^2\gamma 𝔼^{1/2}\left[_𝐱V^\epsilon \right]^2𝔼^{1/2}\left[\delta _\gamma V_z^\epsilon (𝐱,𝐲)\right]^2`$
$``$ $`c_4\eta ^2\left({\displaystyle _0^{\mathrm{}}}r_{1,\rho }(t)𝑑t\right)^2\gamma ^2\rho ^{1H}|\mathrm{min}(\rho ,\gamma ^1)|^{1H}`$
(v) Estimation of $`sup_{|z|z_0}𝔼𝐩_𝐱(\stackrel{~}{}_z^\epsilon \theta )_2^2`$: A similar line of reasoning and a straightforward spectral calculation yield that

$`𝔼𝐩_𝐱(\stackrel{~}{}_z^\epsilon \theta )_2^2`$ $`=`$ $`𝔼_𝐲_𝐱\gamma ^1\delta _\gamma \stackrel{~}{V}_z^\epsilon _2^1\theta _2^2`$
$``$ $`c_1𝔼_𝐱^2\stackrel{~}{V}_z^\epsilon _2^1\theta _2^2`$
$``$ $`c_2\eta ^2\left({\displaystyle _0^{\mathrm{}}}r_{1,\rho }(t)𝑑t\right)^2𝔼\left[_𝐱^2V_z^\epsilon \right]^2`$
$``$ $`c_3\eta ^2\left({\displaystyle _0^{\mathrm{}}}r_{1,\rho }(t)𝑑t\right)^2\rho ^{42H}.`$
## Appendix C Proof of Corollary 3

By the Cauchy-Schwartz inequality we have the following calculation:

$`𝔼\left[_z^\epsilon \theta (𝐱,𝐩)\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)_2^2\right]`$
$``$ $`C_1\left\{𝔼\left[_z^\epsilon \theta (𝐱,𝐩)\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)\right]_2^2+𝔼\left[_z^\epsilon \theta (𝐱,𝐩)_2^2\right]𝔼\left[\stackrel{~}{}_z^\epsilon \theta (𝐲,𝐪)_2^2\right]\right\}`$
$`=`$ $`C_1\gamma ^4\{𝔼\left[\delta _\gamma V_z^\epsilon (𝐱,𝐱^{})\delta _\gamma \stackrel{~}{V}_z^\epsilon (𝐲,𝐲^{})\right]_2^1\theta (𝐱,𝐱^{})_2^1\theta (𝐲,𝐲^{})_2^2`$
$`+𝔼\left[\right|\delta _\gamma V_z^\epsilon |^2]_2^1\theta _2^2𝔼\left[\right|\delta _\gamma \stackrel{~}{V}_z^\epsilon |^2]_2^1\theta _2^2\}`$
$`=`$ $`O\left(\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)`$
and

$`𝔼\left[_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2\right]`$
$``$ $`C_1^{}\{\gamma ^4{\displaystyle 𝔼\left[\delta _\gamma V_z^\epsilon \right]^2𝔼\left[\delta _\gamma \stackrel{~}{V_z^\epsilon }\right]^2\left(_2^1\theta \right)^2𝑑𝐱𝑑𝐲}+𝔼\left[_z^\epsilon \stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)\right]_2^2\}`$
$`=`$ $`C_1^{}\gamma ^4\{{\displaystyle 𝔼\left[\delta _\gamma V_z^\epsilon \right]^2𝔼\left[\delta _\gamma \stackrel{~}{V_z^\epsilon }\right]^2\left(_2^1\theta \right)^2𝑑𝐱𝑑𝐲}+𝔼\left[\delta _\gamma V_z^\epsilon \delta _\gamma \stackrel{~}{V}_z^\epsilon \right]_2^1\theta (𝐱,𝐲)_2^2\}`$
$`=`$ $`O\left(\underset{|𝐲|L}{sup}𝔼\left|\delta _\gamma V_z^\epsilon \right|^2(𝐲)𝔼\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)`$
and

$`𝔼\left[\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2\right]`$
$``$ $`C_2\{\gamma ^4{\displaystyle 𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2\left(_2^1\theta \right)^2𝑑𝐱𝑑𝐲}+𝔼\left[\stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta (𝐱,𝐩)\right]_2^2\}`$
$`=`$ $`C_2\gamma ^4\{{\displaystyle \left(𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \right]^2\right)^2\left(_2^1\theta \right)^2𝑑𝐱𝑑𝐲}+𝔼\left[\delta _\gamma \stackrel{~}{V}_z^\epsilon \delta _\gamma \stackrel{~}{V}_z^\epsilon \right]_2^1\theta (𝐱,𝐲)_2^2\}`$
$`=`$ $`O\left(\underset{|𝐲|L}{sup}𝔼^2\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2(𝐲)\right)`$
where $`C_1,C_1^{},C_2`$ are constants independent of $`\rho ,\eta ,\gamma `$ and $`L`$ is the radius of the ball containing the support of $`_2^1\theta `$. Similarly we have that

$`𝔼_z^\epsilon \stackrel{~}{}_z^\epsilon \stackrel{~}{}_z^\epsilon \theta _2^2=O\left(\underset{|𝐲|L}{sup}𝔼^2\left|\delta _\gamma \stackrel{~}{V}_z^\epsilon \right|^2𝔼\left|\delta _\gamma V_z^\epsilon \right|^2\right).`$