Reason: Proof of the frontier-window and crossing-compensation identities (toolkit lemma C), carried onto the newly published theorem version. Internally reviewed; the induction with the K_q-peeling for the product windows was verified in review.
Claim 1. Fix t, the label a, p, and Z with 0≤Z≤ζ; fix a natural m and put δ=2−m, θq=qδ. Let Q be the least natural with θQ≥Vˉ and partition Ω into F0={v=0} and Fq={θq−1<v≤θq} for q=1,…,Q (using 0≤v≤Vˉ). Fix q and write θ for θq, with θ=0 when q=0.
Apply Level-Revealed Conditioning for Jointly Driven Solutions of the Controlled N-Agent Dynamics at time r:=t with caps ca:=θ for the label a and cb:=Bbt for every label b=a. By (P1) the constraints for the labels b=a hold surely, so the event C there equals ⋂j{Aja(t)≤θ}, and Fq⊆C because Aja(t)≤At∨,a≤v≤θ on Fq. Its claim 1 gives C^∈Hq (the capped σ-algebra there) with P(C△C^)=0, and its claim 2, applied to the Ft-measurable nonnegative maps Wq:=Z1Fq, v, and λ, gives Hq-measurable W^q,v^q,λ^q agreeing with them almost surely on C. Set λq:=(v+λ−θ)+ and λq†:=(((v^q∧Vˉ)+(λ^q∧Λˉ)−θ)+)∧Λˉ, an Hq-measurable variable with values in [0,Λˉ].
Pathwise split. On Fq, with I:=Yv+λa−Yva, Dq:=Y(v+λ)∧θa−Yva, and Gq:=Yθ+λqa−Yθa: if v+λ≥θ then (v+λ)∧θ=θ, θ+λq=v+λ, and I=Dq+Gq by concatenation at the level θ; if v+λ<θ then λq=0, Gq=0, Dq=I. In all cases I=Dq+Gq with Dq,Gq≥0.
Central term. First, (W^q∧ζ)1C^=Wq almost surely: the two agree almost surely on C (where W^q=Wq≤ζ and 1C^=1 almost surely), and almost surely off C both vanish (Wq vanishes off Fq and Fq⊆C, so Wq=0 off C; and 1C^=0 almost surely off C). Second, λq†=λq almost surely on Fq⊇{Wq>0}: almost surely on Fq⊆C one has v^q=v≤Vˉ and λ^q=λ≤Λˉ, so the inner truncations do not act, and on Fq, v≤θ gives λq≤λ≤Λˉ, so the outer truncation does not act either. Hence the integrands of E[WqGqp] and E[(W^q∧ζ)1C^(Yθ+λq†a−Yθa)p] agree almost surely, and the expectations coincide. Now apply claim 2 of Predictable-Window Moment Identities for the Homogeneous Poisson Process to the clock Ya with the data: level θ, bounds Vˉ′:=θ and Λˉ; σ-algebra G:=Hq, which is independent of σ(Yθ+sa−Yθa:s≥0) by claim 3 of Level-Revealed Conditioning for Jointly Driven Solutions of the Controlled N-Agent Dynamics; window bottom the constant θ; window length λq†; multiplier (W^q∧ζ)1C^. This yields E[WqGqp]=E[(W^q∧ζ)1C^μp(λq†)]=E[Wqμp(λq)]: in the last step the first factors agree almost surely, and where they are positive (a subset of Fq up to a null event) λq†=λq almost surely, so the integrands agree almost surely.
Error term. For reals x≥y≥0, xp−yp=(x−y)(xp−1+⋯+yp−1)≤(x−y)pxp−1; with x=I, y=Gq, and I≤Yˉ:=YVˉ+Λˉ+1a (path monotonicity, v+λ≤Vˉ+Λˉ), this gives 0≤E[WqIp]−E[WqGqp]≤pζE[1FqDqYˉp−1].
Assembly and limit. Summing over q=0,…,Q (the Fq partition Ω) and writing θ(m)(ω) for the cell top δ⌈v/δ⌉, λ(m):=(v+λ−θ(m))+, and D(m):=Y(v+λ)∧θ(m)a−Yva:
E[ZIp]−E[Zμp(λ(m))]≤pζE[D(m)Yˉp−1].
As m→∞: θ(m)↓v (dyadic upper approximations), so λ(m)→λ pointwise and, by continuity and monotonicity of μp (claim 4 of Predictable-Window Moment Identities for the Homogeneous Poisson Process) and the Dominated Convergence Theorem with the constant dominator ζμp(Λˉ), E[Zμp(λ(m))]→E[Zμp(λ)]. Also D(m)↓0 pointwise: the levels (v+λ)∧θ(m) decrease to v, and Ya at levels decreasing to v decreases to Yva by right-continuity (property 3 of Counting Path and Its Jump Times, as in claim 1 of Predictable-Window Moment Identities for the Homogeneous Poisson Process); with D(m)Yˉp−1≤Yˉp and E[Yˉp]=μp(Vˉ+Λˉ+1)<∞, dominated convergence gives E[D(m)Yˉp−1]→0. Since E[ZIp] does not depend on m, E[ZIp]=E[Zμp(λ)].
The window-event identity is proved by the same split, using ∣1{I≥1}−1{Gq≥1}∣≤Dq pointwise (if I≥1 and Gq=0 then Dq=I≥1, and Gq≤I), the central evaluation E[Wq1{Gq≥1}]=E[Wq(1−exp(−λq))] from claim 3 of Predictable-Window Moment Identities for the Homogeneous Poisson Process with the same almost-sure-equality bookkeeping as in the central term, and, in the limit, continuity of exp with dominator ζ for the central part together with E[ZD(m)]→0 for the error part, by the same dominated-convergence argument with dominator Yˉ and E[Yˉ]=μ1(Vˉ+Λˉ+1)<∞. The final inequality follows from the pointwise bound 1−exp(−λ)≤λ: for λ≥1 it is trivial, and for 0≤λ<1 the defining series and the geometric partial-sum bound give exp(λ)≤∑kλk≤1/(1−λ), so exp(−λ)≥1−λ. The case p=1 reads E[Z(Yv+λa−Yva)]=E[Zλ] since μ1(λ)=λ.
Claim 2. Assume Z bounded (P3). Write A∨:=A∨,a and λ∗:=As∨+Ba(w−s)−Aw∨; by (P1), 0≤λ∗≤Ba(w−s) and Aw∨+λ∗=As∨+Ba(w−s). Since As∨≤Aw∨≤As∨+Ba(w−s), the increments concatenate pathwise:
YAw∨a−YAs∨a=[YAs∨+Ba(w−s)a−YAs∨a]−[YAw∨+λ∗a−YAw∨a],
both brackets being nonnegative integers bounded by YBaT+Ba(w−s)a, which is integrable with expectation μ1(BaT+Ba(w−s))<∞. Apply claim 1 with p=1 twice: at time s, with window bottom v:=As∨ (Fs-measurable, ≥As∨,a, ≤BaT=:Vˉ), constant window length Ba(w−s), and multiplier Z, giving E[Z(YAs∨+Ba(w−s)a−YAs∨a)]=Ba(w−s)E[Z]; and at time w, with window bottom v:=Aw∨ (Fw-measurable, ≥Aw∨,a, ≤Vˉ), window length λ∗ (Fw-measurable, values in [0,Ba(w−s)]), and multiplier Z (which is Fw-measurable by (P2)), giving E[Z(YAw∨+λ∗a−YAw∨a)]=E[Zλ∗]. Subtracting (all terms finite),
E[Z(YAw∨a−YAs∨a)]=E[Z(Ba(w−s)−λ∗)]=E[Z(Aw∨−As∨)].
Claim 3. By induction on k; the case k=1 is claim 1, in both the power and the indicator form. Let k≥2 and suppose the claim holds for every choice of k−1 distinct labels. Fix the data of the claim, abbreviate In:=Yvn+λnan−Yvnan, and for each n let fn denote either x↦xpn or x↦1{x≥1}, with gn(λ) the corresponding value μpn(λ) or 1−exp(−λ). By (P3) assume 0≤Z≤ζ.
Run the cell decomposition of the claim 1 proof for the label a:=ak and the window bottom v:=vk: for fixed natural m, cells F0,…,FQ with tops θ:=θq, and, for each q, the application of Level-Revealed Conditioning for Jointly Driven Solutions of the Controlled N-Agent Dynamics at time t with caps cak:=θ and cb:=Bbt for b=ak, giving C⊇Fq, C^∈Hq, and Hq-measurable versions W^q of Wq:=Z1Fq and v^n,λ^n of vn,λn for all n≤k, agreeing with the unhatted maps almost surely on C; and the quantities λq, λq†, Dq, Gq built from vk,λk,v^k,λ^k exactly as there.
Let Kq:=σ(Hq∪⋃n<kσ(Yuan:u≥0)). Every generator of Kq lies in the σ-algebra Hak+ of claim 3 of Level-Revealed Conditioning for Jointly Driven Solutions of the Controlled N-Agent Dynamics (for the caps above): the generators of Hq do, as shown there, and the full variable families of the clocks an, n<k, do since an=ak. Hence σ(Yθ+sak−Yθak:s≥0) is independent of Kq. Define, for n<k, the counts I^n:=Y(v^n∧Vˉ)+(λ^n∧Λˉ)an−Yv^n∧Vˉan; these are Kq-measurable by the final clause of claim 1 of Predictable-Window Moment Identities for the Homogeneous Poisson Process, applied with G0:=Kq (the evaluation levels are Hq-measurable and every variable Yuan is Kq-measurable); almost surely on C the truncations do not act and I^n=In.
Apply claim 2 (respectively claim 3, for the indicator form of fk) of Predictable-Window Moment Identities for the Homogeneous Poisson Process to the clock Yak with level θ, σ-algebra G:=Kq, window bottom the constant θ, window length λq†, and the Kq-measurable [0,∞]-valued multiplier (W^q∧ζ)1C^∏n<kfn(I^n). By the almost-sure-equality bookkeeping of the claim 1 proof (extended by I^n=In almost surely on C, both sides vanishing almost surely off C),
E[Wqfk(Gq)∏n<kfn(In)]=E[Wqgk(λq)∏n<kfn(In)].
The error of replacing fk(Ik) by fk(Gq) is bounded as in the claim 1 proof, with every estimate multiplied by ∏n<kfn(In)≤∏n<kYˉnpn, where Yˉn:=YVˉ+Λˉ+1an: in the power case by pkζE[1FqDqYˉkpk−1∏n<kYˉnpn], in the indicator case by ζE[1FqDq∏n<kYˉnpn]. The dominating product Yˉkpk∏n<kYˉnpn is integrable with expectation ∏n≤kμpn(Vˉ+Λˉ+1)<∞: the variables Yˉ1,…,Yˉk are functions of the variables of k distinct clocks, whose σ-algebras form an independent family (hypothesis of Level-Revealed Conditioning for Jointly Driven Solutions of the Controlled N-Agent Dynamics), so each partial product ∏n≤jYˉnpn is independent of Yˉj+1pj+1 by part (a) of Grouping Lemma for Independent Random Variables together with Joint Distribution, Expectations, and Block Independence for Independent Random Variables --- functions of disjoint blocks of an independent family are independent --- and Expectation of a Product of Independent Random Variables applies inductively, each factor having finite expectation μpn(Vˉ+Λˉ+1) by claim 4 of Predictable-Window Moment Identities for the Homogeneous Poisson Process and claim 2 of Image Measures, Measures with Densities, and Change of Variables. Summing over q and letting m→∞ exactly as in the claim 1 proof --- the same pointwise limits λ(m)→λk and D(m)↓0, with dominated convergence now using the integrable dominators ζμpk(Λˉ)∏n<kYˉnpn in the power case, ζ∏n<kYˉnpn in the indicator case, and Yˉkpk∏n<kYˉnpn for the error terms --- yields
E[Z∏n=1kfn(In)]=E[Zgk(λk)∏n=1k−1fn(In)].
The multiplier Zgk(λk) is Ft-measurable and nonnegative (λk is Ft-measurable and gk is Borel), so the induction hypothesis for the labels a1,…,ak−1 applies and gives E[Z∏n≤kfn(In)]=E[Z∏n≤kgn(λn)], completing the induction; the monotone reduction of (P3) removes the boundedness of Z.