TheoremBase

Proof of Injection Certificates on the Trimmed Synthetic Copy for the Family of N-Agent Solutions: the Law-Transported Van Trees Certificate Hypothesis Holds under Deterministic Initial States, Uniform Observation Positivity and a C2C^2 Observation Extension

lemmalem:van-trees-certificates-from-n-agent-solutions-2026a
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Reason: Proof of P8.4d-3 (lem:van-trees-certificates-from-n-agent-solutions-2026a): assembly of the (VT') certificates from the trimmed synthetic copy.

Proof

Throughout, "2a" refers to Mean-Field-Side Data for the Van Trees Assembly: Regularity of the Drift Jacobian and Fluctuation Covariance Along a Trajectory Pair, the Fundamental-Solution Bound, the Profile Response and Its Restriction, and the Observation Information Matrix of the Fluctuation LQG Data, "1b" to The Scale Set for the Van Trees Assembly: Eventual Validity of the Copy-Side Constraints, Lower Bounds for the Chernoff Exponents, and Vanishing of the Error Majorants, "2b" to Instantiation of the Trimmed-Copy Van Trees Data from an N-Agent Solution at the Power Scales: Construction of the Copy Side, Verification of the Copy Hypotheses, and Domination of Its Constants by the Scale-Set Majorants, "P8.4b" to The Closeness, Fourth-Moment and Discrepancy Hypotheses of the Estimand Assembly Lemma Supplied by an N-Agent Solution under the Cost Bound: Control-Lipschitz Bound on the Record Discrepancy, Close Records from the Path-Closeness Event, and the Explicit Mean-Square Bound and "P8.4c" to The Van Trees Data of the Trimmed Synthetic Copy Supplied by an N-Agent Solution: Transport to the Record Support, Regularity of the Smoothed Joint Density, the Information Bound in the Injection Direction, and the Pairing of the Cell Coefficients with the Profile Response.

Claim 1. Fix s(0,T]s\in(0,T] and a profile λ\lambda. The natural numbers l2l\ge2, m1m\ge1, l~1\tilde{l}\ge1 and the nonempty set ARm\mathcal{A}\subseteq\mathbb{R}^{m} are given; β\beta is a transition-rate family on ll states with control set A\mathcal{A} and rate bound B0B\ge0 (claim 2 of The Transition-Rate Family and Aggregate Drift of Affine-Controlled Data); (U,V,βˉ)(U,V,\bar\beta) is a twice continuously differentiable extension of β\beta with derivative bound K0K\ge0 (common data); β~\tilde\beta is an observation-rate family on ll states with l~\tilde{l} channels and rate bound B~0\tilde{B}\ge0; (U~,β~ˉ)(\tilde{U},\bar{\tilde\beta}) is a twice continuously differentiable extension of β~\tilde\beta with derivative bound K~0\tilde{K}\ge0 ((X')); (OC) is assumed with the wording of 2a; T>0T>0; (S,A)(S,A) is a mean-field trajectory pair for β\beta with horizon TT with StΔlS_{t}\in\Delta^{l} and AtAA_{t}\in\mathcal{A} (as recorded in the Data of The Path-Closeness Event under the Cost Bound: Closeness of the Empirical State Measure to the Mean-Field Trajectory and of the Record-Frozen Control to the Mean-Field Control on an Event of Probability 1O(N1/2)1-O(N^{-1/2})); 0<sT0<s\le T; and λ\lambda has continuous components on [0,T][0,T]. These are the hypotheses of 2a, none of which involves NN; so its claims are available, ψλ\psi_{\lambda} is the map of its claim 4 (defined on [0,T][0,T] from λ\lambda, Er\mathcal{E}_{r} and Θr\Theta^{\star}_{r} alone, hence independent of ss), and As(λ)0\mathcal{A}_{s}(\lambda)\ge0 is the real number of its claim 6.

The initial covariance. Fix N1N\ge1 and γ,δ\gamma,\delta. By (D0) the event Ω={Σ0=x0N}\Omega_{*}=\{\Sigma_{0}=\mathsf{x}^{N}_{0}\} has Pag(Ω)=1P^{\mathrm{ag}}(\Omega_{*})=1 (an event of Fag\mathcal{F}^{\mathrm{ag}}, as (D0) presupposes; Σ0\Sigma_{0} is a random variable with values in GNRl\mathbb{G}_{N}\subseteq\mathbb{R}^{l} and {x0N}\{\mathsf{x}^{N}_{0}\} is a Borel set), and on Ω\Omega_{*} one has s0=N(x0NS0)\mathfrak{s}_{0}=\sqrt{N}(\mathsf{x}^{N}_{0}-S_{0}), so s0γs0δ=N(x0N,γS0γ)(x0N,δS0δ)=:vN\mathfrak{s}^{\gamma}_{0}\mathfrak{s}^{\delta}_{0}=N(\mathsf{x}^{N,\gamma}_{0}-S^{\gamma}_{0})(\mathsf{x}^{N,\delta}_{0}-S^{\delta}_{0})=:\mathsf{v}_{N} there. Both s0γs0δ\mathfrak{s}^{\gamma}_{0}\mathfrak{s}^{\delta}_{0} and the constant random variable vN\mathsf{v}_{N} are bounded in absolute value by 4N4N (any two points of Δl\Delta^{l} are at Euclidean distance at most 22, as recorded in Asymptotic Lower Bound for the Recentred N-Agent Cost by the Fluctuation LQG Value, under Law-Transported Injection Certificates, and s0γs0|\mathfrak{s}^{\gamma}_{0}|\le|\mathfrak{s}_{0}|); by claim 2 of Almost Sure Inequalities Between Bounded Random Variables Pass to Expectations, Eag[s0γs0δ]=Eag[vN]=vN\mathbb{E}^{\mathrm{ag}}[\mathfrak{s}^{\gamma}_{0}\mathfrak{s}^{\delta}_{0}]=\mathbb{E}^{\mathrm{ag}}[\mathsf{v}_{N}]=\mathsf{v}_{N} (the expectation of a constant on a probability space being that constant, by The Integral of an Indicator Function is the Measure of the Set and the homogeneity of the integral). Now vNNx0NS02=(Nx0NS0)2|\mathsf{v}_{N}|\le N|\mathsf{x}^{N}_{0}-S_{0}|^{2}=(\sqrt{N}|\mathsf{x}^{N}_{0}-S_{0}|)^{2} (components are bounded by the norm, claim 1 of Elementary Properties of the Euclidean Norm on Rn\mathbb{R}^n), and the right-hand side converges to 00 by (D0) and Arithmetic of Limits of Real Sequences (product of two null sequences); by claim 3 of Order Properties of Limits of Real Sequences, vN0\mathsf{v}_{N}\to0. Hypothesis (I) of Asymptotic Lower Bound for the Recentred N-Agent Cost without Uniform Control-Moment Hypotheses asks for a symmetric real matrix Π0\Pi_{0} with ll rows and columns such that, for all γ,δ\gamma,\delta, the sequence (Eag[s0γs0δ])N1(\mathbb{E}^{\mathrm{ag}}[\mathfrak{s}^{\gamma}_{0}\mathfrak{s}^{\delta}_{0}])_{N\ge1} converges to Π0γδ\Pi^{\gamma\delta}_{0}; the zero matrix (symmetric) satisfies this.

The maps of the LQG lower bound theorem. The observation data of Asymptotic Lower Bound for the Recentred N-Agent Cost by the Fluctuation LQG Value, under Law-Transported Injection Certificates are supplied by (U~,β~ˉ)(\tilde{U},\bar{\tilde\beta}); its matrices E~t\tilde{\mathcal{E}}_{t}, Θ~t\tilde\Theta^{\star}_{t} are the observation matrix and observation noise covariance of the fluctuation LQG data relative to these extensions, which are the matrices of the same names in 2a (as its paragraph The fluctuation LQG matrices records), and its EtE_{t} and Θt\Theta^{\star}_{t} coincide with the state matrix Et\mathcal{E}_{t} and state noise covariance Θt\Theta^{\star}_{t} of those data (as stated there), hence with those of 2a. By claim 2 of 2a every entry of tE~tt\mapsto\tilde{\mathcal{E}}_{t} and every tb~υ(St)t\mapsto\tilde{b}^{\upsilon}(S_{t}) is continuous on [0,T][0,T], and b~υ(St)b>0\tilde{b}^{\upsilon}(S_{t})\ge\underline{b}>0 by (OC); so hypothesis (OC) of that theorem holds with β~min=b\tilde\beta_{\min}=\underline{b}, and its matrix D~t=E~t(Θ~t)1E~t\tilde{D}_{t}=\tilde{\mathcal{E}}_{t}^{\top}(\tilde\Theta^{\star}_{t})^{-1}\tilde{\mathcal{E}}_{t} is the D~t\tilde{D}_{t} of 2a (same defining formula; the inverse is that of claim 5 of 2a). With the zero matrix as Π0\Pi_{0}, the map ψλ\psi_{\lambda} of that theorem is the unique assignment with continuous components satisfying ψλ(u)=[0,u](Erψλ(r)+Θrλ(r))dr\psi_{\lambda}(u)=\int_{[0,u]}(\mathcal{E}_{r}\psi_{\lambda}(r)+\Theta^{\star}_{r}\lambda(r))\,dr on [0,T][0,T]; having continuous components on the compact interval [0,T][0,T] it is bounded (Continuous Real-Valued Functions on a Compact Interval are Bounded) and measurable (claim 3 of Restricted Lebesgue Measure and Integral Toolkit on a Compact Interval), so by the uniqueness assertion of claim 4 of 2a it equals the ψλ\psi_{\lambda} of 2a. Its As(λ)\mathcal{A}_{s}(\lambda), with the term λ(0)(Π0λ(0))=0\lambda(0)\cdot(\Pi_{0}\lambda(0))=0, is then [0,s](λ(r)(Θrλ(r))+ψλ(r)(D~rψλ(r)))dr\int_{[0,s]}(\lambda(r)\cdot(\Theta^{\star}_{r}\lambda(r))+\psi_{\lambda}(r)\cdot(\tilde{D}_{r}\psi_{\lambda}(r)))\,dr, the As(λ)\mathcal{A}_{s}(\lambda) of claim 6 of 2a.

Claim 2. (C0). Fix N1N\ge1 and s(0,T]s\in(0,T]. The setting of The Observation Filtration of a Solution of the Controlled N-Agent Dynamics is Generated, up to Null Sets, by the Observation Record up to that Time is instantiated by the NN-th solution: the control set is convex and compact, the policy h(N)h^{(N)} is A\mathcal{A}-valued with horizon TT, the event times and channels (τj,υj)j1(\tau_{j},\upsilon_{j})_{j\ge1} are the fixed family furnished by claim 1 of The Realized Control of the Controlled N-Agent Dynamics as a Random Element of the Control Set from which the realized control is formed (as recorded in the Data of The Path-Closeness Event under the Cost Bound: Closeness of the Empirical State Measure to the Mean-Field Trajectory and of the Record-Frozen Control to the Mean-Field Control on an Event of Probability 1O(N1/2)1-O(N^{-1/2})), and reconstruction data for the driving system and h(s)h^{(s)} with horizon ss are fixed in the statement. Its claim 4 states that Gs\mathcal{G}_{s} is W(s)W^{(s)}-generated up to null sets in the sense of Factorisation of Random Variables Through a Measurable Map, the Variational Form of the Mean-Square Filtering Error, and Its Invariance Under the Joint Law, with σ(W(s))\sigma(W^{(s)}) formed from the sets of Rs\mathcal{R}_{s}; this is (C0).

The certificates. Fix s(0,T]s\in(0,T], cRl\mathbf{c}\in\mathbb{R}^{l}, a profile λ\lambda and ϵ>0\epsilon>0.

The NN-independent data. By claim 1, 2a applies; adopt from it, as in the paragraph The mean-field-side data of 2b, the real numbers Λ0\Lambda\ge0, M0\mathsf{M}\ge0 and Φˉ0\bar\Phi\ge0 (its claims 3 and 4; fix one choice of each), the restrictions ϖ\varpi, ψˉ\bar\psi of λ\lambda, ψλ\psi_{\lambda} to [0,s][0,s], and the real numbers P=[0,s]ϖu(Θfl(Su,Au)ϖu)du\mathsf{P}=\int_{[0,s]}\varpi_{u}\cdot(\Theta^{\mathrm{fl}}(S_{u},A_{u})\varpi_{u})\,du and Q=[0,s]ψˉu(D~(Su)ψˉu)du\mathsf{Q}=\int_{[0,s]}\bar\psi_{u}\cdot(\tilde{D}(S_{u})\bar\psi_{u})\,du defined in the paragraph The mean-field-side data of 2b (Θfl\Theta^{\mathrm{fl}} the aggregate fluctuation covariance of β\beta), which are nonnegative with P+Q=As(λ)\mathsf{P}+\mathsf{Q}=\mathcal{A}_{s}(\lambda) by claim 6 of 2a. Put c0=c\mathsf{c}_{0}=|\mathbf{c}|. The scalar data ll, mm, l~\tilde{l}, BB, B~\tilde{B}, KK, K~\tilde{K}, b\underline{b}, TT, ss, Λ\Lambda, M\mathsf{M}, Φˉ\bar\Phi, c0\mathsf{c}_{0}, cQc_{Q}, κ\kappa^{\sharp}, CflwC_{\mathrm{flw}}, CctlC_{\mathrm{ctl}}, P\mathsf{P}, Q\mathsf{Q} satisfy the hypotheses of 1b: l2l\ge2, m1m\ge1, l~1\tilde{l}\ge1 are natural numbers; BB, B~\tilde{B}, KK, K~0\tilde{K}\ge0; b>0\underline{b}>0; T>0T>0 and s(0,T]s\in(0,T]; Λ\Lambda, M\mathsf{M}, Φˉ0\bar\Phi\ge0 and c00\mathsf{c}_{0}\ge0; κ1\kappa^{\sharp}\ge1 by (I'); P\mathsf{P}, Q0\mathsf{Q}\ge0; cQ0c_{Q}\ge0, because claim 1 of The Path-Closeness Event under the Cost Bound: Closeness of the Empirical State Measure to the Mean-Field Trajectory and of the Record-Frozen Control to the Mean-Field Control on an Event of Probability 1O(N1/2)1-O(N^{-1/2}) (for any one N1N\ge1) gives 0Eag[Q4]cQκ0N20\le\mathbb{E}^{\mathrm{ag}}[Q^{4}]\le c_{Q}\kappa_{0}N^{-2} with κ0=1+Eag[s04]1\kappa_{0}=1+\mathbb{E}^{\mathrm{ag}}[|\mathfrak{s}_{0}|^{4}]\ge1; Cctl=2(Z+1)2C_{\mathrm{ctl}}=2(\mathcal{Z}^{\sharp}+1)\ge2 with Z0\mathcal{Z}^{\sharp}\ge0 by claims 3 and 4 of Closeness of the Realized Control and the Realized Mean-Field Flow on a High-Probability Event under the Cost Bound; and Cflw=CSCctl1/20C_{\mathrm{flw}}=C_{S}C_{\mathrm{ctl}}^{1/2}\ge0 by claim 4 there, since by its Data CS=eΛbTlK2TC_{S}=e^{\Lambda_{b}T}\sqrt{l}\,K_{2}\sqrt{T} with K2=2l(l1)K1K_{2}=2\sqrt{l}\,(l-1)K_{1} and K10K_{1}\ge0 (claim 1 of The Transition-Rate Family and Aggregate Drift of Affine-Controlled Data). None of these data depends on NN. (We do not invoke claim 1 of 2b here, since the setting of 2b presupposes the number NcN_{\mathrm{c}} about to be obtained from 1b.) Let NcN_{\mathrm{c}} be the natural number fixed in claim 1 of 1b for these data, and let NscNcN_{\mathrm{sc}}\ge N_{\mathrm{c}} be a natural number furnished by claim 4 of 1b for the tolerance ϵ/2\epsilon/2, so that for every NNscN\ge N_{\mathrm{sc}}

e2,N+e3,N+e4,N+e5,Nϵ2,einj,Nϵ2,aNϵ2,INP+Q+ϵ2.\mathsf{e}_{2,N}+\mathsf{e}_{3,N}+\mathsf{e}_{4,N}+\mathsf{e}_{5,N}\le\tfrac{\epsilon}{2},\qquad \mathsf{e}_{\mathrm{inj},N}\le\tfrac{\epsilon}{2},\qquad \mathsf{a}_{N}\le\tfrac{\epsilon}{2},\qquad \mathcal{I}_{N}\le\mathsf{P}+\mathsf{Q}+\tfrac{\epsilon}{2}.

By (D0) the sequence εNini=Nx0NS0\varepsilon^{\mathrm{ini}}_{N}=\sqrt{N}|\mathsf{x}^{N}_{0}-S_{0}| converges to 00, hence so does cΦˉ2εNini|\mathbf{c}|\bar\Phi^{2}\varepsilon^{\mathrm{ini}}_{N} (limit of a scalar multiple), and by claim 3(d) of Real Powers Through the Exponential, and Elementary Asymptotic Tools: Monotonicity, Null Sequences of Negative Powers, Exponential Domination, Integer Rounding, and Square-Root and Exponential Inequalities (with L=0<ϵ/2L=0<\epsilon/2) there is a natural number NDN_{\mathrm{D}} with cΦˉ2Nx0NS0<ϵ/2|\mathbf{c}|\bar\Phi^{2}\sqrt{N}|\mathsf{x}^{N}_{0}-S_{0}|<\epsilon/2 for every NNDN\ge N_{\mathrm{D}}. Put N2=max(Ncl,Nsc,ND)N_{2}=\max(N_{\mathrm{cl}},N_{\mathrm{sc}},N_{\mathrm{D}}), a natural number with N2NclN_{2}\ge N_{\mathrm{cl}}.

The instance of 2b. Let NN2N\ge N_{2}. The NN-agent side of P8.4b is instantiated by the NN-th solution: its setting is that of The Path-Closeness Event under the Cost Bound: Closeness of the Empirical State Measure to the Mean-Field Trajectory and of the Record-Frozen Control to the Mean-Field Control on an Event of Probability 1O(N1/2)1-O(N^{-1/2}) with the renamings listed, the fixed number NclN_{\mathrm{cl}} and the natural number NNclN\ge N_{\mathrm{cl}}. For its intermediate-time paragraph, take the dense sequence in L2([0,s];Rm)L^{2}([0,s];\mathbb{R}^{m}) and the reconstruction data for the driving system and h(s)h^{(s)} fixed in the statement; with the base point z0=S0z_{0}=S_{0}, the setting of The Observation-Centred Fluctuation at an Intermediate Time: Restriction of the Mean-Field Flow and of the Realized Control to a Shorter Horizon, Representation through the Aggregate State and the Record Prefix, and Transport of Its Joint Law with the Record to the Synthetic Copy is then instantiated as in P8.4b, its observation-centred fluctuation at time ss being XsX'_{s} and its record prefix W(s)W^{(s)}. Hypothesis (D) of 2b holds with x0=x0N\mathsf{x}_{0}=\mathsf{x}^{N}_{0} ((D0)), and (OC), (X') of 2b are the present hypotheses; the profile is λ\lambda and the estimand direction c\mathbf{c}. The mean-field-side data and the scale-set data of 2b are then those fixed above (2b adopts Λ\Lambda, M\mathsf{M}, Φˉ\bar\Phi from 2a as fixed choices, and we take the choices made above), so the scale set, its derived quantities and its number NcN_{\mathrm{c}} in 2b are those of the present paragraph, and NNscNcN\ge N_{\mathrm{sc}}\ge N_{\mathrm{c}}. Let (Ω,F,P)(\Omega,\mathcal{F},P) be a probability space carrying the independent driving variables of the copy side of 2b for the present NN (it exists by Existence of Independent Sequences with Prescribed Distributions, as recorded there). All hypotheses of 2b hold, so its claims 1--6 are available for this copy instance; we use its notation.

The certificate data. Take (Ω,F,P)=(Ωtr,Ftr,μtr)(\Omega',\mathcal{F}',P')=(\Omega^{\mathrm{tr}},\mathcal{F}^{\mathrm{tr}},\mu^{\mathrm{tr}}), Y=R+\mathsf{Y}=\mathsf{R}_{+}, Y=R+\mathcal{Y}=\mathcal{R}_{+}, ϱ0=ρ+\varrho_{0}=\rho_{+}, the natural number dd (with L\mathsf{L} identified with {1,,d}\{1,\dots,d\} by the fixed bijection), ϑq=Θqtr\vartheta_{q}=\Theta^{\mathrm{tr}}_{q}, D=Dtr\mathsf{D}'=\mathsf{D}^{\mathrm{tr}}, X=cXtrX^{\dagger}=\mathbf{c}\cdot X^{\mathrm{tr}}, p=gtrp=g^{\mathrm{tr}}, G=ςR+G=\varsigma|_{\mathsf{R}_{+}}, α\alpha the vector of cell coefficients, z=zz=\mathsf{z} and aq=meq/Na_{q}=\mathsf{m}e_{q}/\sqrt{N}. By claim 1 of P8.4c (available by claim 4 of 2b), R+Rs\mathsf{R}_{+}\in\mathcal{R}_{s}, R+={ERs:ER+}\mathcal{R}_{+}=\{E\in\mathcal{R}_{s}:E\subseteq\mathsf{R}_{+}\} is its trace σ\sigma-algebra, the trimmed copy is a probability space, and Dtr\mathsf{D}^{\mathrm{tr}} takes its values in R+\mathsf{R}_{+}; by claim 6(b) of 2b, ρ+\rho_{+} is σ\sigma-finite on (R+,R+)(\mathsf{R}_{+},\mathcal{R}_{+}), each ϑq\vartheta_{q} is a square-integrable random variable on (Ω,F,P)(\Omega',\mathcal{F}',P'), and D\mathsf{D}' is measurable with respect to F\mathcal{F}' and Y\mathcal{Y}; by claim 6(a) of 2b, XX^{\dagger} is square-integrable; d1d\ge1 (the index set L\mathsf{L} is nonempty, l(l1)2l(l-1)\ge2 labels each carrying at least one cell); and pp takes values in [0,)[0,\infty) by claim 2 of P8.4c. We verify (a), (C1), (C2'), (C3), (C4').

(a). This is claim 6(a) of 2b, together with the measurability of ω(cXs(ω),W(s)(ω))\omega\mapsto(\mathbf{c}\cdot X'_{s}(\omega),W^{(s)}(\omega)) with respect to Fag\mathcal{F}^{\mathrm{ag}} and B(R)Rs\mathcal{B}(\mathbb{R})\otimes\mathcal{R}_{s} and the square-integrability of cXs\mathbf{c}\cdot X'_{s} on the NN-agent side, which are part of claim 4 of The Observation-Centred Fluctuation at an Intermediate Time: Restriction of the Mean-Field Flow and of the Realized Control to a Shorter Horizon, Representation through the Aggregate State and the Record Prefix, and Transport of Its Joint Law with the Record to the Synthetic Copy (with t=st=s), available from the instantiation of its setting made in the preceding paragraph.

(C1). Since D\mathsf{D}' takes its values in Y=R+\mathsf{Y}=\mathsf{R}_{+}, for every ERsE\in\mathcal{R}_{s} one has D1(E)=D1(ER+)\mathsf{D}'^{-1}(E)=\mathsf{D}'^{-1}(E\cap\mathsf{R}_{+}) with ER+YE\cap\mathsf{R}_{+}\in\mathcal{Y}, and conversely every EYE\in\mathcal{Y} belongs to Rs\mathcal{R}_{s}; hence {D1(E):ERs}={D1(E):EY}\{\mathsf{D}'^{-1}(E):E\in\mathcal{R}_{s}\}=\{\mathsf{D}'^{-1}(E):E\in\mathcal{Y}\}, which is σ(D)\sigma(\mathsf{D}') in both readings. Now let ZZ be a random variable on (Ω,F,P)(\Omega',\mathcal{F}',P') measurable with respect to σ(D)\sigma(\mathsf{D}') and square-integrable. By claim 2 of Factorisation of Random Variables Through a Measurable Map, the Variational Form of the Mean-Square Filtering Error, and Its Invariance Under the Joint Law, applied to the probability space (Ω,F,P)(\Omega',\mathcal{F}',P'), the measurable space (Y,Y)(\mathsf{Y},\mathcal{Y}) and the map D\mathsf{D}' (measurable with respect to F\mathcal{F}' and Y\mathcal{Y}), there is a Y\mathcal{Y}-measurable g:YRg:\mathsf{Y}\to\mathbb{R} with Z=gDZ=g\circ\mathsf{D}' everywhere on Ω\Omega'; then gD=Zg\circ\mathsf{D}'=Z is square-integrable. This is (C1).

(C2'). This is claim 6(b) of 2b: the data named satisfy (i), (ii), (iii) of The Multivariate van Trees Inequality and (iv') of Score Identities and the Mixture-Weight Directional van Trees Inequality, and Iz\mathcal{I}_{\mathsf{z}} is the mixture-weight information of that lemma in the direction z=zz=\mathsf{z} for the shifts aqa_{q} with n=dn=d; so Iz=Iz\mathcal{I}_{z}=\mathcal{I}_{\mathsf{z}}, which is finite by claim 2 of P8.4c (Iu<\mathcal{I}_{\mathsf{u}}<\infty and Iz=Iu/N=Iu/N\mathcal{I}_{\mathsf{z}}=\mathcal{I}_{\mathsf{u}/\sqrt{N}}=\mathcal{I}_{\mathsf{u}}/N by the scaling identity there).

(C3). By claim 6(c) of 2b, G=ςR+G=\varsigma|_{\mathsf{R}_{+}} is measurable with respect to Y\mathcal{Y} and B(R)\mathcal{B}(\mathbb{R}), G(D)=ς(Dtr)G(\mathsf{D}')=\varsigma(\mathsf{D}^{\mathrm{tr}}) is square-integrable, and, with αϑ=αΘtr\alpha\cdot\vartheta=\alpha\cdot\Theta^{\mathrm{tr}},

αϑ+G(D)X2cΦˉ2Nx0NS0+e2,N+e3,N+e4,N+e5,N<ϵ2+ϵ2=ϵ,\bigl\lVert\alpha\cdot\vartheta+G(\mathsf{D}')-X^{\dagger}\bigr\rVert_{2}\le|\mathbf{c}|\,\bar\Phi^{2}\sqrt{N}\,|\mathsf{x}^{N}_{0}-S_{0}|+\mathsf{e}_{2,N}+\mathsf{e}_{3,N}+\mathsf{e}_{4,N}+\mathsf{e}_{5,N}<\tfrac{\epsilon}{2}+\tfrac{\epsilon}{2}=\epsilon,

by the choice of NDN_{\mathrm{D}} and NscN_{\mathrm{sc}} (NN2N\ge N_{2}).

(C4'). By claim 6(d) of 2b and the choice of NscN_{\mathrm{sc}}: αzcψλ(s)einj,Ncψλ(s)ϵ\alpha\cdot z\ge\mathbf{c}\cdot\psi_{\lambda}(s)-\mathsf{e}_{\mathrm{inj},N}\ge\mathbf{c}\cdot\psi_{\lambda}(s)-\epsilon; maxqαaqaNϵ\max_{q}|\alpha\cdot a_{q}|\le\mathsf{a}_{N}\le\epsilon; and Iz=IzINP+Q+ϵ/2As(λ)+ϵ\mathcal{I}_{z}=\mathcal{I}_{\mathsf{z}}\le\mathcal{I}_{N}\le\mathsf{P}+\mathsf{Q}+\epsilon/2\le\mathcal{A}_{s}(\lambda)+\epsilon, using P+Q=As(λ)\mathsf{P}+\mathsf{Q}=\mathcal{A}_{s}(\lambda). This completes the proof of claim 2.

Claim 3. Let ss, c\mathbf{c}, λ\lambda, ϵ\epsilon, Λ\Lambda, M\mathsf{M}, Φˉ\bar\Phi and the spaces (Ω,F,P)(\Omega,\mathcal{F},P) be as in the statement of claim 3. Run the proof of claim 2 with these Λ\Lambda, M\mathsf{M}, Φˉ\bar\Phi in place of the choices fixed there (nothing in that argument depends on which admissible triple is chosen, only on its being fixed before the scale set is formed) and, for each NN, with the given space (Ω,F,P)(\Omega,\mathcal{F},P) as the probability space carrying the driving variables. It produces NcN_{\mathrm{c}}, NscN_{\mathrm{sc}}, NDN_{\mathrm{D}} and N2=max(Ncl,Nsc,ND)NclN_{2}=\max(N_{\mathrm{cl}},N_{\mathrm{sc}},N_{\mathrm{D}})\ge N_{\mathrm{cl}}, verifies the hypotheses of 2b for every NN2N\ge N_{2} with exactly the choices listed in claim 3, and takes as certificate data exactly the objects listed there. \qquad\blacksquare

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