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# 1 Introduction

## 1 Introduction

Scientists have been studying Hamiltonian dynamical systems for centuries. One of the flourishing directions emerging as a result of these studies is current research on problems involving oscillations and vibrations of real mechanical systems. Generally, models that reflect such processes of real life are nonlinear and stochastic, and they often require some model reduction. One specific technique of model reduction is stochastic averaging which reduces more complicated random processes to simpler ones. We are interested in studying both the means of approximation of the initial model by its reduced model and the nature of the reduced model. One of the features of the reduced model is the structure of its state space, which may acquire dimensional discontinuities becoming a stratified space \[G.-M.\]. In cases like these, the domains of the generator of the limiting reduced process may require gluing conditions. The dynamics of the reduced process can be understood via the Fokker-Planck equation, with the gluing conditions reflected in the corresponding conservation of flux and continuity equations.

Real-life dynamical systems are typically described with equations which have small parameters. As these parameters vary, they can cause radical changes in the qualitative structure of solutions. Although invisible on a usual time scale, in many cases these changes may become dramatically visible on a larger time scale. Bogolyubov \[B.\] proved a deterministic result for ordinary differential equations which resolves a difficulty of this type, and which is known as the averaging principle.

The fact that most physical problems are non-deterministic inspired the development of stochastic averaging. The first rigorous arguments for stochastic averaging were given by Has’minskiĭ \[H.2\], \[H.3\]. The essence of the classical stochastic averaging is the asymptotic separation of time scales.

Consider the following diffusion on $`^2:`$

$`\dot{𝐗}_t^\epsilon (𝐱)`$ $`=^{}H\left(𝐗_t^\epsilon (𝐱)\right)+\epsilon \dot{𝐖}_t`$
$`𝐗_0^\epsilon (𝐱)`$ $`=𝐱,`$
where $`^{}`$ denotes a vector orthogonal to $`,`$ $`H`$ is a sufficiently smooth function, $`\epsilon `$ is a small parameter, and $`𝐖`$ is two-dimensional Brownian motion. Here $`H`$ is the first integral of the corresponding deterministic system

$$\begin{array}{cc}\hfill \dot{𝐗}_t^0(𝐱)& =^{}H\left(𝐗_t^0(𝐱)\right)\hfill \\ \hfill 𝐗_0^0(𝐱)& =𝐱,\hfill \end{array}$$

This system is Hamiltonian with one degree of freedom. If the energy function $`H`$ is a single-well Hamiltonian, i.e., if all the level sets $`L_h=\{𝐱^2:H(𝐱)=h\}`$ of $`H`$ have a single connected component formed by periodic trajectories of the system, then the invariant measure of this system depends only on the height $`h`$. There are two time scales involved here. The movement of the deterministic system is fast, but the energy of the stochastic system is varying slowly, and this slow transversal movement is visible only on a larger time scale. It is natural to separate the two time scales in order to witness the energy dynamics. From \[H.3\], on a large time scale, $`H(𝐗^\epsilon )`$ weakly converges to a Markov process on a reduced space, which is the real line. In this case, the stratified space has one one-dimensional stratum.

Freidlin and Wentzell \[F.-W.\], and then Freidlin and Weber \[F.-Wb.\], considered the problem with a multiple-well Hamiltonian $`H`$. One of the essential assumptions made on the system in their work was the non-degenerate structure of the Hamiltonian. In the case of a multiple-well energy function, the invariant measure of the system depends not only on the height, but also on the particular component of the Hamiltonian. In the presence of saddle points the reduced space becomes a tree. Each vertex of the tree corresponds either to a single critical point of $`H`$, or to a whole homoclinic trajectory of the system. Every interior point of a segment on the tree corresponds to a particular periodic orbit. The energy of the stochastic system is varying slowly, and this slow transversal movement is naturally visible on a large time scale. Studying the energy dynamics as $`\epsilon 0,`$ the authors identified the limiting graph-valued process. They showed that the classical calculations of Has’minskiĭ \[H.3\] can be applied, as long as the process stays away from the vertices of the graph. As for the vertices, the limiting Markov process requires gluing conditions to be enforced on the domain of its generator. The dynamics of the limiting process can be understood via the Fokker-Plank equation. The gluing reflects the two following properties. The solution of the Fokker-Plank equation for the corresponding density must be continuous at vertices, and the weighted fluxes trough vertices from different legs of a tree must sum to zero.

One way to describe a diffusion is to illustrate the dynamics of its trajectories by a corresponding stochastic differential equation. Another way, introduced by Stroock and Varadhan \[S.-V.\], is to build a martingale on the corresponding coordinate space. This alternative method is used to construct a limiting process by constructing a martingale problem for which this process is a solution. This is known as the martingale problem approach.

Sowers \[S.1\] investigated a stochastic system with a flattened Hamiltonian, removing the assumption of non-degeneracy. A canonical example of a Hamiltonian of this kind is

$$H(𝐱)=\left(\mathrm{max}\{0,𝐱1\}\right)^n,n>2.$$

To regularize noise, the chain equivalence \[R.\] was used. This general equivalence relation identifies points if they can be taken from one to the other and back by a combination of small diffusive perturbation and fast drift. In this problem the limiting space has a dimensional discontinuity. The author showed convergence to a Markov process on the reduced space, whose strata are a two-sphere, a line segment and a point. A step towards a general theory of Markov processes on stratified spaces was made in the recent work of Evans and Sowers \[E.-S.\].

Recently, Namachchivaya and Sowers \[N.-S.\] made an attempt to develop a unified approach to study the energy dynamics of a non-degenerate single-degree-of-freedom system excited by both periodic and random perturbations. As a prototype for one of the cases, they studied a two-dimensional weakly dissipative system with time-periodic coefficients, and achieved model reduction through stochastic averaging.

We combine \[S.1\] and \[N.-S.\]. We consider a two-dimensional weakly dissipative system with time-periodic coefficients whose time average is governed by a degenerate Hamiltonian whose set of critical points has an interior. The dynamics of the system is studied in the presence of three time scales. The periodic fluctuations of the coefficients occur on the time scale of order $`1/\epsilon ^2`$, the effect of the drift is visible on the time scale of order $`1/\epsilon `$, and the diffusion coefficients are of order one.

The main technical difficulty in this problem is stochastic averaging near the boundary of the critical set. The main step of the averaging is to approximately solve a certain partial differential equation. This equation involves drift of order one and small diffusion leading to a singular perturbation problem. We solve this problem by introducing new coordinates in the vicinity of the boundary. This coordinate transformation was inspired by Has’minskiĭ \[H.1\], and was previously used in \[S.1\]. These coordinates were introduced with the idea that equal angular displacement should correspond to equal amounts of diffusion across the boundary of the critical set. They perform a role similar to action-angle components. Solving the partial differential equation in Has’minskiĭ’s coordinates involves Fourier analysis and leads to an inhomogeneous Bessel’s ordinary differential equation. The unique solution is expressed via Bessel functions of small order and purely imaginary argument.

We perform stochastic averaging using the martingale problem. This approach was developed by Papanicolaou and Kohler \[P.-K.\]. Using the martingale problem and separating the time scales, we average the system to show convergence to a Markov process on a stratified space. The corresponding strata are, as in \[S.1\], a two-sphere, a point and a line segment. Special attention is given to the description of the domain of the limiting generator, including the analysis of the gluing condition at the point where the strata meet. The differential operator governing the limiting process and the gluing describing the domain of its generator are given explicitly (Section 4.1). The gluing condition, resulting from the effects of the hierarchy of time scales, is similar to the conditions described in \[S.1\]. It is also similar to the conditions on the domain of skew Brownian motion, and is related to the description of spider martingales \[Y.1\].

In our problem, the particular interest is in a careful analysis of the gluing condition on the domain of the limiting generator. Here, the multiple time scales affect gluing in a straightforward way. It would be interesting to see the changes to the initial problem which result in various changes to the structure of the reduced stratified space and which affect gluing in a different way.

### 1.1 Notation

Let $`\alpha =(\alpha _1,\alpha _2)`$ be an ordered tuple of nonnegative integers, i.e., let $`\alpha `$ be a multi-index. We set $`|\alpha |=\alpha _1+\alpha _2`$ and

$$^\alpha =\left(\frac{}{x_1}\right)^{\alpha _1}\left(\frac{}{x_2}\right)^{\alpha _2}.$$

We denote by $`C^k(A;B)`$ the collection of all functions $`f:AB`$ which have continuous derivatives of orders $`0,1,\mathrm{},k`$. When $`B`$ is clear from the context, we write simply $`C^k(A)`$. We say that a function $`f`$ is a $`C^k`$-diffeomorphism if $`f`$ is a $`C^k`$-homeomorphism from $`A`$ to $`B`$ with a $`C^k`$ inverse. We say that $`f(𝐱,t):A\times TB`$ is $`C^{k,l}(A\times T;B)`$ if $`^\alpha f`$ is continuous for all $`|\alpha |k`$ and $`\left(\frac{f}{t}\right)^\beta `$ is continuous for all $`0\beta l.`$ If $`l=0`$ we write $`C^k(A\times T;B),`$ and if $`l=k=0`$ we write simply $`C(A\times T;B)`$. We denote by $`C_c^k(A)`$ the subset of $`C^k(A)`$ of functions having compact support, and by $`C_b(A)`$ the subset of continuous functions $`C(A)`$ bounded on the set $`A`$.

Let $`U`$ be an open subset of $`^2`$. We denote by $`^k(U)`$ the Sobolev space, which consist of all locally integrable functions $`h:U`$ such that for each multi-index $`\alpha `$ with $`|\alpha |k`$, $`^\alpha f`$ exists in a weak sense and belongs to the space of square-integrable functions $`L^2(U).`$ For every $`h^k(U)`$, we define

$$h_{^k(U)}:=\left(\underset{|\alpha |k}{}_U\left|^\alpha h\right|^2\right)^{1/2}.$$

For any functions $`fC^{k,l}(^2\times ;)`$ and $`gC^k(;)\left(k,l0\right)`$ and for any compact subsets $`A^2,`$ and $`B,T,`$ we define

$$f_{C^k\left(A\times T\right)}:=\underset{\begin{array}{c}𝐱A\\ tT\\ |\alpha |k\end{array}}{sup}\left|^\alpha f(𝐱,t)\right|$$

and

$$g_{C^k\left(B\right)}:=\underset{\begin{array}{c}𝐲B\\ |\alpha |k\end{array}}{sup}\left|^\alpha g(𝐲)\right|.$$

We say that a function $`fC^2(^2)`$ is non-degenerate at a point $`𝐱`$ if the Hessian

$$D^2f(𝐱)=\left|\begin{array}{cc}\frac{^2f}{x_1x_1}(𝐱)& \frac{^2f}{x_1x_2}(𝐱)\\ \frac{^2f}{x_2x_1}(𝐱)& \frac{^2f}{x_2x_2}(𝐱)\end{array}\right|$$

of $`f`$ at $`𝐱`$ is non-degenerate, that is, if $`\mathrm{rank}D^2f(𝐱)=2.`$ We call a function $`fC^2(^2)`$ degenerate at $`𝐱`$ if $`\mathrm{rank}D^2f(𝐱)<2.`$

## 2 Statement of the Problem

Since we will deal with a perturbed dynamical system, it makes sense to begin by describing our problem from the point of view of the theory of dynamical systems. To show that a certain limiting system is Markovian, we use the martingale problem, and we will need to restate our problem in the language more appropriate for this approach.

### 2.1 Mechanical description of the problem

When we speak about small perturbations, we will mean that the perturbing effect depends on a small parameter $`\epsilon `$. Consider small random perturbations of a two-dimensional weekly-dissipative system with time-periodic coefficients. In other words, our interest is a system which has both periodic and stochastic perturbations,

$`d\stackrel{~}{𝐗}_t^\epsilon =\epsilon b(\stackrel{~}{𝐗}_t^\epsilon ,t)dt+\epsilon \sigma (\stackrel{~}{𝐗}_t^\epsilon ,t)d𝐖_t,t0`$
$`\stackrel{~}{𝐗}_0^\epsilon =𝐱\text{ a.s.}`$ (0.1)
Here $`𝐖`$ is a two-dimensional Brownian motion. Coefficients $`b`$ and $`\sigma `$ in (0.1) are $`C^{2,1}\left(^2\times \right)`$-functions and are $`2\pi `$-periodic in time. We also assume that, given any $`𝐱=(x_1,x_2)^2,`$

$$(𝕄b)(𝐱):=\frac{1}{2\pi }_0^{2\pi }b(𝐱,t)𝑑t=^{}H(𝐱),$$
(0.2)
where $`^{}H(𝐱)=(\frac{H(𝐱)}{x_2},\frac{H(𝐱)}{x_1})`$ is perpendicular to $`H(𝐱)`$. We assume that $`H0`$ is smooth and that it has a single well, that is, its level sets have only one connected component. Typically one assumes that $`H`$ is non-degenerate at its critical points. Here we allow $`H`$ to be degenerate at its critical points, so that $`\mathrm{rank}D^2H(𝐱)2,`$ and that the set of the critical points of $`H`$ can have an interior.

We will refer to the quantity $`H`$ as the energy of the system (0.1). To describe $`H`$ with some rigor, we introduce a function $`KC^{\mathrm{}}(^2;)`$ with the following properties:

* The set $`\{𝐱^2:K(𝐱)0\}`$ is a diffeomorphism of the unit disc.
* $`K`$ is nonsingular on the set $`\{𝐱^2:K(𝐱)0\},`$ meaning that $`K(𝐱)\mathrm{𝟎}`$ on this set.
* $`lim_𝐱\mathrm{}K(𝐱)=\mathrm{}`$.

Having in mind these properties of $`K`$, we set

$$H(𝐱):=\left(\mathrm{max}\{0,K(𝐱)\}\right)^n,n>2.$$

We denote

$$𝐕:=\{𝐱^2:K(𝐱)<0\}.$$

###### Example 0.1.

Let $`K`$ satisfy the above properties, $`K(𝐱)=𝐱1`$ for $`𝐱1`$ and $`K(𝐱)<0`$ for $`𝐱<1`$. Then $`H(𝐱)=\left(\mathrm{max}\{0,𝐱1\}\right)^n,n>2,`$ does not have any isolated critical points (Fig. 0.1).

Instead, the set $`\overline{𝐕}`$ of its critical points has an interior $`𝐕=\{𝐱^2:K(𝐱)<0\}=\{𝐱^2:𝐱<1\}.`$ For any $`𝐱\overline{𝐕},`$ $`\mathrm{rank}D^2H(𝐱)=0,`$ so all the critical points of $`H`$ are degenerate. Any positive level set $`L_h:=\{𝐱^2:H(𝐱)=h\},h>0,`$ of $`H`$ is a connected closed smooth curve in $`^2.`$

###### Remark 0.1.

The property (ii) is essential for our construction. Set

$$\overline{K}(𝐱)=\{\begin{array}{cc}0\hfill & \text{ if }𝐱1,\hfill \\ 𝐱\mathrm{exp}\left\{\frac{1}{1𝐱^2}\right\}\hfill & \text{ if }𝐱>1.\hfill \end{array}$$

This smooth function satisfies the properties (i) and (iii), but not (ii), since it is singular on the set $`\{𝐱^2:\overline{K}(𝐱)=0\}.`$

The fact that $`K`$ is nonsingular on $`\{𝐱^2:K(𝐱)0\}`$ implies that there exists $`a>0`$ such that the small set

$$=\{𝐲^2:\left|K(𝐲)\right|<a\}$$
(0.3)
surrounding the boundary $`𝐕`$ of the set $`\overline{𝐕}=\{𝐱^2:K(𝐱)0\}`$ has one component and $`K(𝐱)\mathrm{𝟎}`$ for all $`𝐱\overline{}.`$

Our goal is to study the dynamics of the energy of the system (0.1) as the small parameter $`\epsilon `$ tends to $`0`$ and to describe the limiting system. We will show that it has the Markovian property.

###### Definition 0.1.

We write $`\gamma =\sigma \sigma ^T,`$ and for any functions $`f,gC^2(^2;)`$ and for every $`t`$, we define two differential operators: the generator

$$(_tf)(𝐱):=\frac{1}{2}\underset{i,j=1}{\overset{2}{}}\gamma _{ij}(𝐱,t)\frac{^2f}{x_ix_j}(𝐱);$$
(0.4)
and the bracket

$$df,dg_t(𝐱):=\underset{i,j=1}{\overset{2}{}}\gamma _{ij}(𝐱,t)\frac{f}{x_i}(𝐱)\frac{g}{x_j}(𝐱).$$
(0.5)
If $`f,gC^{2,1}(^2\times ;),`$ then $`(_tf)(𝐱,t)`$ and $`df,dg_t(𝐱,t)`$ are obtained by applying $`_t`$ and $`df,dg_t`$ to $`f(,t)`$ and $`g(,t),`$ i.e., $`\left(_tf\right)(𝐱,t)=\left(_tf(,t)\right)(𝐱)`$ and $`df,dg_tf(𝐱,t)=\left(df,dg_t(,t)\right)(𝐱).`$

###### Remark 0.2.

If $`hC^2(;)`$ and $`fC^2(^2;)`$ then

$$\left(_t\left(hf\right)\right)(𝐱)=h^{}(f(𝐱))(_tf)(𝐱)+\frac{1}{2}h^{\prime \prime }(f(𝐱))df,df_t(𝐱).$$

Applying Itô’s formula, from (0.1) we have that

$$\begin{array}{cc}\hfill H(\stackrel{~}{𝐗}_t^\epsilon )& =H(𝐱)+\epsilon _0^t(H(\stackrel{~}{𝐗}_s^\epsilon ),b(\stackrel{~}{𝐗}_s^\epsilon ,s))𝑑s\hfill \\ & +\epsilon _0^t(H(\stackrel{~}{𝐗}_s^\epsilon ),\sigma (\stackrel{~}{𝐗}_s^\epsilon ,s))𝑑𝐖_s+\epsilon ^2_0^t(_sH)(\stackrel{~}{𝐗}_s^\epsilon )𝑑s,\hfill \end{array}$$

and we see that $`H(\stackrel{~}{𝐗}^\epsilon )`$ is slowly varying (as opposed to being conserved). We want to choose a time scale fine enough to see the effect of the periodic coefficient $`b`$ on the fluctuations of $`H(\stackrel{~}{𝐗}^\epsilon )`$. In order to do this, we rescale time by introducing the process $`𝐗^\epsilon `$ so that $`𝐗_t^\epsilon =\stackrel{~}{𝐗}_{t/\epsilon ^2}^\epsilon `$ for every $`t0.`$ Using the scaling property of Brownian motion, without loss of generality, we can rewrite (0.1) in the form

$`d𝐗_t^\epsilon ={\displaystyle \frac{1}{\epsilon }}b(𝐗_t^\epsilon ,{\displaystyle \frac{t}{\epsilon ^2}})dt+\sigma (𝐗_t^\epsilon ,{\displaystyle \frac{t}{\epsilon ^2}})d𝐖_t,t0`$
$`𝐗_0^\epsilon =𝐱\text{a.s.}`$ (0.6)
We can distinguish between three time scales here. The motion described by (0.6) consists of the very fast (of order $`1/\epsilon ^2`$) periodic oscillation of the coefficients, the fast (of order $`1/\epsilon `$) rotation along the trajectories of the corresponding unperturbed system, and the slow diffusion (of order 1) across these trajectories. From (0.6), using Itô’s formula,

$$\begin{array}{cc}\hfill H(𝐗_t^\epsilon )& =H(𝐱)+\frac{1}{\epsilon }_0^t(H(𝐗_s^\epsilon ),b(𝐗_s^\epsilon ,\frac{s}{\epsilon ^2}))𝑑s\hfill \\ & +_0^t(H(𝐗_s^\epsilon ),\sigma (𝐗_s^\epsilon ,\frac{s}{\epsilon ^2}))𝑑𝐖_s+_0^t(_{s/\epsilon ^2}H)\left(𝐗_s^\epsilon \right)𝑑s.\hfill \end{array}$$

After rescaling, we can rephrase our goal. We want to study the behavior of $`H\left(𝐗^\epsilon \right)`$ as $`\epsilon 0,`$ and to show that the process describing the energy of the limiting system is Markovian.

### 2.2 Topological identification and stratification of the quotient space

Let $`\xi _t`$ be the flow generated by $`^{}H,`$ i.e.,

$$\dot{\xi }_t(𝐱)=^{}H(\xi _t(𝐱)),\xi _0(𝐱)=𝐱.$$

We will use $`\xi _t`$ to form a quotient space. Let $``$ be the chain equivalence relation based on $`\xi _t`$.

All trajectories of $`\xi _t`$ are periodic on $`^2\overline{𝐕}`$, therefore the chain orbit of $`𝐱^2\overline{𝐕}`$ consists of all the points on the level set to which $`𝐱`$ belongs. All points of the open set $`𝐕`$ are fixed points of the flow $`\xi _t`$, and every point $`𝐱𝐕`$ is its own chain orbit. All points of $`𝐕`$ are also fixed points of the flow, but the chain orbit of every such point is the whole set $`𝐕`$, since every point of $`𝐕`$ always has a neighborhood containing points from $`^2\overline{𝐕}.`$

Fix a level of $`H`$ of height $`H^{}>0,`$ let $`K^{}:=\left(H^{}\right)^{1/n}`$, and define the two open sets

$$𝐔:=\{𝐱^2:0<H(𝐱)<H^{}\}=\{𝐱^2:0<K(𝐱)<K^{}\}$$

and

$$𝐈:=\{𝐱^2:H(𝐱)<H^{}\}=\{𝐱^2:K(𝐱)<K^{}\}.$$

The sets $`𝐕,𝐕,𝐔,𝐈`$ are disjoint with union $`\overline{𝐈}`$ (Fig. 2.2).

Define

$$𝚪:=\overline{𝐈}/.$$

Then $`𝚪,`$ endowed with the quotient topology defined by $``$, is a quotient space. For every $`𝐱\overline{𝐈},`$ define the natural map

$$\pi (𝐱):=[𝐱]=\{𝐲\overline{𝐈}:𝐲𝐱\}.$$

Notice that

$$\pi (𝐱)=\{\begin{array}{cc}H^1\left(H(𝐱)\right)\hfill & \text{ if }𝐱𝐔𝐈,\hfill \\ 𝐕\hfill & \text{ if }𝐱𝐕,\hfill \\ \{𝐱\}\hfill & \text{ if }𝐱𝐕.\hfill \end{array}$$

For $`A\overline{𝐈}`$ denote $`𝚪_A=\pi (A)=\{[𝐱]𝚪:𝐱A\}`$ so that $`𝚪=𝚪_𝐕𝚪_𝐕𝚪_𝐔𝚪_𝐈.`$

###### Proposition 0.1.

There is a homeomorphism from $`𝚪`$ to the submanifold

$$𝖲^2\left(\{0\}\times \{0\}\times [1,H^{}+1]\right)$$

in $`^3`$, where $`𝖲^2`$ is the $`2`$-sphere $`\{𝐱^3:𝐱=1\}.`$

###### Proof.

Denote $`𝖲^2\left(\{0\}\times \{0\}\times [1,H^{}+1]\right)`$ by $`𝖬_3,`$ and define the map $`p:𝚪𝖬_3`$ by

$$p\left([𝐱]\right):=\{\begin{array}{cc}s\left(𝐱\right)\hfill & \text{ if }[𝐱]𝚪_𝐕,\hfill \\ (0,0,1)\hfill & \text{ if }[𝐱]𝚪_𝐕,\hfill \\ (0,0,H(𝐱)+1)\hfill & \text{ if }[𝐱]𝚪_𝐔𝚪_𝐔,\hfill \end{array}$$

where $`s:\overline{𝐕}𝖲^2`$ is a homeomorphism such that $`s\left(𝐕\right)=(0,0,1).`$ Notice that $`p`$ is the desired homeomorphism from $`𝚪`$ to $`𝖬_3.`$

We see that $`𝚪_𝐕`$ is an open two-dimensional smooth manifold, $`𝚪_𝐔`$ is an open one-dimensional smooth manifold, $`𝚪_𝐕𝚪_𝐔=\mathrm{}.`$ $`𝚪_𝐕`$ is a limit point of both $`𝚪_𝐕`$ and $`𝚪_𝐔`$, and $`𝚪_𝐈`$ is the other limit point of $`𝚪_𝐔.`$ Both $`𝚪_𝐕`$ and $`𝚪_𝐈`$ can be treated as zero-dimensional smooth manifolds, and the Whitney regularity condition is trivially satisfied. Therefore, $`𝚪=𝚪_𝐕𝚪_𝐕𝚪_𝐔𝚪_𝐈`$ is a stratified space.

### 2.3 Probabilistic formulation of the problem

Probabilistically, we are interested in the laws of a stochastic processes. We would like to show that a certain limiting law is Markovian in nature. The martingale problem is a standard tool for such analysis. We will restate our problem in the language natural for the martingale approach.

For any $`fC^2(^2),`$ and for every $`t,`$ define the differential operator

$$(_t^\epsilon f)(𝐱):=\frac{1}{\epsilon }(f(𝐱),b(𝐱,t))+(_tf)(𝐱),$$

with $`_tf`$ defined in (0.4) above. If $`fC^{2,1}(^2\times ),`$ then $`(_t^\epsilon f)(𝐱,t)`$ is obtained by applying $`_t^\epsilon `$ to $`f(,t)`$ i.e., $`\left(_tf\right)(𝐱,t)=\left(_tf(,t)\right)(𝐱)`$. We assume that the domain $`𝒟^\epsilon `$ of the generator $`_t^\epsilon `$ contains a dense subset of functions from $`C^2\left(^2\right)`$.

Let $`\mathrm{\Omega }:=C([0,\mathrm{});^2).`$ Given $`𝐱\overline{𝐈},`$ let $`^\epsilon 𝒫\left(C([0,\mathrm{});^2)\right)`$ be a solution of the stopped martingale problem for $`(_t^\epsilon ,\delta _𝐱,𝐈),t0.`$ Then for every $`fC^{2,1}\left(^2\times [0,\mathrm{})\right)`$,

$$f(𝐗_{t\tau },t\tau )f(𝐗_{s\tau },s\tau )_{s\tau }^{t\tau }\left(\frac{f}{u}(𝐗_u,u)+\left(_u^\epsilon f\right)(𝐗_u,u)\right)𝑑u$$

is a $`^\epsilon `$-martingale.

Let $`𝐗`$ be the corresponding coordinate process defined by $`𝐗_t(\omega ):=\omega (t)`$, $`t0,\omega \mathrm{\Omega }.`$ Set $`_t`$ to be generated by this coordinate process up to time $`t`$, and define $`:=_t_t.`$ Define the $`_t`$-stopping time $`\tau `$ by

$$\tau :=inf\{s0:𝐗_s𝐈\}=inf\{s0:H(𝐗_s)H^{}\},$$

i.e., $`\tau `$ is defined to be the time of the first exit from $`𝐈.`$

Our condition on $`^\epsilon `$ means that the corresponding coordinate process $`𝐗`$ on $`(\mathrm{\Omega },,^\epsilon )`$ is a solution to the stopped martingale problem for $`(_t^\epsilon ,\delta _𝐱,𝐈),t0.`$

Define $`𝐘_t:=\left[𝐗_{t\tau }\right],t0.`$ For each $`\epsilon >0,`$ define the probability measure $`^{\epsilon ,}(A):=^\epsilon \left\{𝐘A\right\},A\left(C([0,\mathrm{}),𝚪)\right).`$ Let $`𝐘_t(\omega )=\omega (t),t0,`$ $`\omega C([0,\mathrm{}),𝚪),`$ be the corresponding coordinate process. For each $`t0,`$ define $`_t^{}:=\sigma \left\{𝐘_s,0st\right\},`$ and define a $`\sigma `$-algebra on $`\mathrm{\Omega }^{}=C([0,\mathrm{}),𝚪)`$ by $`^{}:=_{t0}_t^{}`$.

With this in mind, we can formulate our task once again; this time in the language for the martingale approach. Our goal is to show that the $`^\epsilon `$-laws of $`𝐘`$ converge to the law of a $`𝚪`$-valued Markov process. In other words, we want to understand the asymptotics of $`^{\epsilon ,}`$ as $`\epsilon 0`$. Even more precisely, we will prove that $`^{\epsilon ,}`$ converges to the unique solution $`^{}`$ of the martingale problem for $`(^{},\delta _{[𝐱]})`$, and we will identify the limiting generator $`^{}`$ and its domain.

## 3 Averaging

The main goal of our work is model reduction. To achieve this goal, we use both time averaging and the stochastic averaging of Freidlin and Wentzell as our main techniques.

We study our system in the presence of three time scales. The periodic fluctuations of the coefficients occur on the time scale of order $`1/\epsilon ^2`$, the effect of the drift is visible in time of order $`1/\epsilon `$, and diffusion is of order one. The hierarchy of the time scales indicate that our system will require multiple-level averaging. First, we average the quickly-varying periodic coefficients.

### 3.1 First-level averaging

We recall that $`^\epsilon 𝒫(C[0,\mathrm{});)`$ is a solution of the stopped martingale problem for $`(_t^\epsilon ,\delta _𝐱,𝐈)`$, $`t0,`$ $`𝐱\overline{𝐈},`$ where $`𝐈:=\{𝐱^2:H(𝐱)<H^{}\},`$ and $`\tau :=inf\{s0:𝐗_s𝐈\}.`$ Let $`𝔼^\epsilon `$ be the expectation operator associated with $`^\epsilon .`$

###### Lemma 0.1.

If $`fC^2(\overline{𝐈}\times [0,\mathrm{});)`$ is $`2\pi `$-periodic in its last argument, then there exists a positive constant $`C`$ such that

$$𝔼^\epsilon \left[\left|_0^{t\tau }\left(f(𝐗_u,\frac{u}{\epsilon ^2})(𝕄f)\left(𝐗_u\right)\right)𝑑u\right|\right]C\epsilon (1+t)f_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}.$$
(0.7)
###### Proof.

We define

$$\mathrm{\Phi }_f(𝐱,t):=_0^t\left(f(𝐱,u)(𝕄f)(𝐱)\right)𝑑u.$$
(0.8)
For any $`𝐱\overline{𝐈},`$ any multi-index $`\alpha `$ and $`t0,`$

$$\begin{array}{cc}\hfill ^\alpha \mathrm{\Phi }_f(𝐱,t)& =_0^t\left(^\alpha f(𝐱,u)\frac{1}{2\pi }_0^{2\pi }^\alpha f(𝐱,s)ds\right)𝑑u\hfill \\ & =_{2\pi \frac{t}{2\pi }}^t^\alpha f(𝐱,u)du\left(\frac{t}{2\pi }\frac{t}{2\pi }\right)_0^{2\pi }^\alpha f(𝐱,u)du.\hfill \end{array}$$

This implies that for every $`0<k2`$

$$\mathrm{\Phi }_f_{C^k\left(\overline{𝐈}\times [0,\mathrm{})\right)}4\pi f_{C^k\left(\overline{𝐈}\times [0,\mathrm{})\right)}.$$
(0.9)
By the stopped martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),`$

$$\begin{array}{cc}\hfill \mathrm{\Phi }_f(𝐗_{t\tau },\frac{t\tau }{\epsilon ^2})\mathrm{\Phi }_f(𝐱,0)& =\frac{1}{\epsilon ^2}_0^{t\tau }\frac{\mathrm{\Phi }_f}{u}(𝐗_u,\frac{u}{\epsilon ^2})𝑑u\hfill \\ & +\frac{1}{\epsilon }_0^{t\tau }(_𝐱\mathrm{\Phi }_f(𝐗_u,\frac{u}{\epsilon ^2}),b(𝐗_u,\frac{u}{\epsilon ^2}))𝑑u\hfill \\ & +_0^{t\tau }\left(_{u/\epsilon ^2}\mathrm{\Phi }_f\right)(𝐗_u,\frac{u}{\epsilon ^2})𝑑u\hfill \\ & +𝐌_{t\tau }^{\mathrm{\Phi }_f,\epsilon },\hfill \end{array}$$
(0.10)
where $`𝐌^{\mathrm{\Phi }_f,\epsilon }`$ is the $`^\epsilon `$-martingale with its quadratic variation

$$𝐌^{\mathrm{\Phi }_f,\epsilon }_t=_0^td\mathrm{\Phi }_f,d\mathrm{\Phi }_f_{u/\epsilon ^2}(𝐗_u,\frac{u}{\epsilon ^2})𝑑u.$$

Then

$$\begin{array}{cc}\hfill _0^{t\tau }\left(f(𝐗_u,\frac{u}{\epsilon ^2})(𝕄f)\left(𝐗_u\right)\right)𝑑u& =\epsilon ^2\left(\mathrm{\Phi }_f(𝐗_{t\tau },\frac{t\tau }{\epsilon ^2})\mathrm{\Phi }_f(𝐱,0)\right)\hfill \\ & \epsilon _0^{t\tau }(_𝐱\mathrm{\Phi }_f(𝐗_u,\frac{u}{\epsilon ^2}),b(𝐗_u,\frac{u}{\epsilon ^2}))𝑑u\hfill \\ & \epsilon ^2_0^{t\tau }\left(_{u/\epsilon ^2}\mathrm{\Phi }_f\right)(𝐗_u,\frac{u}{\epsilon ^2})𝑑u\hfill \\ & \epsilon ^2𝐌_{t\tau }^{\mathrm{\Phi }_f,\epsilon }.\hfill \end{array}$$
(0.11)
By Burkholder-Davis-Gundy inequality, there exists a universal positive constant $`C_m`$ such that

$$𝔼^\epsilon \left[\left|𝐌_{t\tau }^{\mathrm{\Phi }_f,\epsilon }\right|\right]C_m𝔼^\epsilon \left[𝐌^{\mathrm{\Phi }_f,\epsilon }_{t\tau }^{1/2}\right]$$
(0.12)
From (0.9), there exists a positive constant $`C`$ such that

$$𝐌^{\mathrm{\Phi }_f,\epsilon }_{t\tau }Ctf_{C^1\left(\overline{𝐈}\times [0,\mathrm{})\right)}^2.$$
(0.13)
Finally, from expression (0.11), applying inequalities (0.9), (0.12), and (0.13), there is a positive constant $`C`$ such that (0.7) holds.

### 3.2 Stochastic averaging away from the critical set

Let $`\varphi _t`$ be the flow generated by $`^{}K`$, i.e.,

$$\dot{\varphi }_t(𝐱)=^{}K\left(\varphi _t(𝐱)\right),\varphi _0(𝐱)=𝐱.$$

Here we are concerned with stochastic averaging on a subset of $`\overline{𝐈}\overline{𝐕}=𝐔𝐈`$. On any such subset, $`\xi _t(𝐱)=\varphi _{n\left(K(𝐱)\right)^{n1}t}(𝐱)`$ and the flow $`\varphi _t`$ has the same orbits as the flow $`\xi _t`$ generated by $`^{}H.`$ To average over these orbits, we define

$$\eta (K(𝐱)):=inf\{t>0:\varphi _t(𝐱)=𝐱\},$$

and for every $`fC(\overline{𝐈};)`$ we define

$$\mathrm{\Psi }_f(𝐱):=\frac{1}{\eta \left(K(𝐱)\right)}_0^{\eta \left(K(𝐱)\right)}tf\left(\varphi _t(𝐱)\right)𝑑t.$$
(0.14)
Let $`𝒟_{𝔸_0}`$ be the set of all real-valued functions whose restriction to $`𝐕𝐔`$ is continuous. We define the pre-averaging operator $`𝔸_0:𝒟_{𝔸_0}C\left(𝚪_𝐕𝚪_𝐔\right)`$ by

$$\left(𝔸_0f\right)([𝐱]):=\{\begin{array}{cc}f(𝐱)\hfill & \text{ if }[𝐱]𝚪_𝐕\hfill \\ \left(_{𝐲[𝐱]}\frac{1}{K(𝐲)}𝑑l(𝐲)\right)^1_{𝐲[𝐱]}\frac{f(𝐲)}{K(𝐲)}𝑑l(𝐲)\hfill & \text{ if }[𝐱]𝚪_𝐔,\hfill \end{array}$$

where $`dl`$ is the arc-length element.

Let $`𝒟_𝔸`$ be the subset of functions $`f`$ from $`𝒟_{𝔸_0}`$ for which

$$\underset{\begin{array}{c}[𝐲]𝚪_𝐕\\ [𝐲]𝚪_𝐕𝚪_𝐔\end{array}}{lim}\left(𝔸_0f\right)([𝐲])\text{and}\underset{\begin{array}{c}[𝐲]𝚪_𝐔\\ [𝐲]𝚪_𝐕𝚪_𝐔\end{array}}{lim}\left(𝔸_0f\right)([𝐲])$$

exist. We define the averaging operator $`𝔸:𝒟_𝔸C(𝚪)`$ by

$$(𝔸f)([𝐱]):=\underset{\begin{array}{c}[𝐲][𝐱]\\ [𝐲]𝚪_𝐕𝚪_𝐔\end{array}}{lim}(𝔸_0f)([𝐲]).$$

###### Remark 0.3.

We notice that if $`𝐱𝐔𝐈,`$ then $`[𝐱]=K^1\left(K(𝐱)\right),`$ i.e., $`[𝐱]`$ is totally defined by $`K(𝐱),`$ and $`\left(𝔸f\right)([𝐱])=\left(𝔸f\right)\left(K^1(K(𝐱))\right).`$ We define $`\left(𝔸_Kf\right)(h)`$ to be the average of $`f`$ on the level set $`\{𝐱^2:K(𝐱)=h\}`$, i.e.,

$$\left(𝔸_Kf\right)(K(𝐱)):=\frac{1}{\eta (K(𝐱))}_0^{\eta (K(𝐱))}f(\varphi _t(𝐱))𝑑t.$$

Then for any $`𝐱𝐔𝐈,`$

$$\left(𝔸f\right)([𝐱])=\left(𝔸_Kf\right)\left(K(𝐱)\right).$$

Let the function $`\omega C_c^{\mathrm{}}()`$ be supported on a compact subset of $`(0,\mathrm{}).`$

###### Lemma 0.2.

For any function $`fC^3(\overline{𝐈};)`$ and for any $`0<p<1`$ there exists a constant $`C_a>0`$ such that

$`𝔼^\epsilon \left[\right|{\displaystyle _0^{t\tau }}(f\left(𝐗_u\right)(𝔸f)\left(\left[𝐗_u\right]\right))`$ $`\omega \left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^p}}\right)du\left|\right]`$
$`<C_a\epsilon ^{1p(n+2)}(1+t)f_{C^3\left(\overline{𝐈}\right)}.`$ (0.15)
###### Proof.

Let $`𝐱\overline{𝐈}.`$ Since $`\omega `$ is supported on a compact subset of $`(0,\mathrm{}),`$ either

$$\left(f\left(𝐱\right)(𝔸f)\left(\left[𝐱\right]\right)\right)\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right)=0,$$

or there exist some positive constants $`C_1`$ and $`C_2`$ such that $`C_1\epsilon ^p<K(𝐱)<C_2\epsilon ^p`$, and therefore we may assume that $`𝐱𝐔𝐈`$. From the above remark, this implies that $`\left(𝔸f\right)([𝐱])=\left(𝔸_Kf\right)(K(𝐱)).`$

From (0.14), there exist a constant $`C>0`$ such that

$$\mathrm{\Psi }_f_{C^k\left(\overline{𝐈}\right)}<Cf_{C^k\left(\overline{𝐈}\right)}.$$
(0.16)
Notice that $`\eta \left(K\left(\varphi _t(𝐱)\right)\right)=\eta \left(K(𝐱)\right)`$ and

$$\begin{array}{cc}\hfill \mathrm{\Psi }_f\left(\varphi _t(𝐱)\right)& =\frac{1}{\eta \left(K(𝐱)\right)}_0^{\eta \left(K(𝐱)\right)}sf\left(\varphi _s\left(\varphi _t(𝐱)\right)\right)𝑑s\hfill \\ & =\frac{1}{\eta \left(K(𝐱)\right)}_t^{t+\eta \left(K(𝐱)\right)}(st)f\left(\varphi _s(𝐱)\right)𝑑s.\hfill \end{array}$$

Differentiating the last equality, we obtain

$`{\displaystyle \frac{d}{dt}}\mathrm{\Psi }_f\left(\varphi _t(𝐱)\right)`$ $`={\displaystyle \frac{1}{\eta \left(K(𝐱)\right)}}{\displaystyle \frac{d}{dt}}\left({\displaystyle _t^{t+\eta \left(K(𝐱)\right)}}(st)f\left(\varphi _s(𝐱)\right)𝑑s\right)`$
$`=f\left(\varphi _t(𝐱)\right)(𝔸_Kf)\left(K\left(\varphi _t(𝐱)\right)\right).`$ (0.17)
On the other hand, using the fact that the flow $`\varphi _t`$ is generated by $`^{}K,`$ we observe that

$$\frac{d}{dt}\mathrm{\Psi }_f\left(\varphi _t(𝐱)\right)=(\mathrm{\Psi }_f\left(\varphi _t(𝐱)\right),^{}K\left(\varphi _t(𝐱)\right)),$$
(0.18)
Expressions (0.17) and (0.18) combined yield

$$f\left(\varphi _t(𝐱)\right)(𝔸_Kf)\left(K\left(\varphi _t(𝐱)\right)\right)=(\mathrm{\Psi }_f\left(\varphi _t(𝐱)\right),^{}K\left(\varphi _t(𝐱)\right)).$$

This equality, being true for any $`t`$, implies that for any $`𝐱\overline{𝐈},`$

$$\left(f(𝐱)(𝔸_Kf)\left(K\left(𝐱\right)\right)\right)\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right)=(\mathrm{\Psi }_f(𝐱),^{}K(𝐱))\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right).$$
(0.19)
For any $`𝐱\overline{𝐈}`$, we define

$$\mathrm{\Psi }_f^\epsilon (𝐱):=\frac{1}{n(K(𝐱))^{n1}}\mathrm{\Psi }_f(𝐱)\omega \left(\frac{K(𝐱)}{\epsilon ^p}\right)$$

and notice that since $`\left(𝕄b\right)(𝐱)=n(K(𝐱))^{n1}^{}K(𝐱)`$, then

$$\left(𝕄(\mathrm{\Psi }_f^\epsilon ,b)\right)(𝐱)=(\mathrm{\Psi }_f(𝐱),^{}K(𝐱))\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right).$$

Using inequality (0.16), we see that there exists a constant $`C>0,`$ such that

$$\mathrm{\Psi }_f^\epsilon _{C^k\left(\overline{𝐈}\right)}<C\epsilon ^{p(n1+k)}f_{C^k\left(\overline{𝐈}\right)}.$$
(0.20)
This implies that there exists a positive constant $`C`$ such that

$$(\mathrm{\Psi }_f^\epsilon ,b)_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}<C\epsilon ^{p(n+2)}f_{C^3\left(\overline{𝐈}\right)}.$$
(0.21)
By the stopped martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),`$

$$\begin{array}{c}_0^{t\tau }(\mathrm{\Psi }_f^\epsilon \left(𝐗_u\right),b(𝐗_u,\frac{u}{\epsilon ^2}))𝑑u=\epsilon \left(\mathrm{\Psi }_f^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }_f^\epsilon \left(𝐱\right)\right)\hfill \\ \hfill \epsilon _0^{t\tau }\left(_{u/\epsilon ^2}\mathrm{\Psi }_f^\epsilon \right)\left(𝐗_u\right)𝑑u\epsilon 𝐌_{t\tau }^{\mathrm{\Psi }_f^\epsilon ,\epsilon },\end{array}$$
(0.22)
where $`𝐌^{\mathrm{\Psi }_f^\epsilon ,\epsilon }`$ is the $`^\epsilon `$-martingale with its quadratic variation

$$𝐌^{\mathrm{\Psi }_f^\epsilon ,\epsilon }_t=_0^td\mathrm{\Psi }_f^\epsilon ,d\mathrm{\Psi }_f^\epsilon _{u/\epsilon ^2}\left(𝐗_u\right)𝑑u.$$

From (0.22), (0.20) and Burkholder-Davis-Gundy inequality, we see that there is a positive constant $`C`$ such that

$`𝔼^\epsilon `$ $`\left[\left|{\displaystyle _0^{t\tau }}(\mathrm{\Psi }_f^\epsilon \left(𝐗_u\right),b(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}}))𝑑u\right|\right]\epsilon 𝔼^\epsilon \left[\left|\mathrm{\Psi }_f^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }_f^\epsilon \left(𝐱\right)\right|\right]`$
$`+\epsilon 𝔼^\epsilon \left[\left|{\displaystyle _0^{t\tau }}\left(_{u/\epsilon ^2}\mathrm{\Psi }_f^\epsilon \right)\left(𝐗_u\right)𝑑u\right|\right]+\epsilon 𝔼^\epsilon \left[\left|𝐌_{t\tau }^{\mathrm{\Psi }_f^\epsilon ,\epsilon }\right|\right]`$
$`<C\epsilon ^{1p(n+1)}(1+t)f_{C^2\left(\overline{𝐈}\right)}.`$ (0.23)
Apply Lemma 0.1, with $`(\mathrm{\Psi }_f^\epsilon ,b)`$ in place of $`f`$, and then recall (0.21) to notice that there exists a positive constant $`C`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\left((\mathrm{\Psi }_f^\epsilon \left(𝐗_u\right),b(𝐗_u,\frac{u}{\epsilon ^2}))\left(𝕄(\mathrm{\Psi }_f^\epsilon ,b)\right)\left(𝐗_u\right)\right)𝑑u\right|\right]\hfill \\ \hfill <C\epsilon ^{1p(n+2)}(1+t)f_{C^3\left(\overline{𝐈}\right)}.\end{array}$$
(0.24)
Finally, combine (0.23) and (0.24) into (0.15).

###### Lemma 0.3.

For any function $`fC^3(\overline{𝐈}\times [0,\mathrm{});)`$ which is $`2\pi `$-periodic in its last argument and for any $`0<p<1`$ there exists a constant $`C_c>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\left(f(𝐗_u,\frac{u}{\epsilon ^2})(𝔸(𝕄f))\left(\left[𝐗_u\right]\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\right|\right]\hfill \\ \hfill <C_c\epsilon ^{1p(n+2)}(1+t)f_{C^3\left(\overline{𝐈}\times [0,\mathrm{})\right)}.\end{array}$$

###### Proof.

We denote

$$q_\epsilon (𝐱,t):=f(𝐱,t)\omega \left(\frac{K(𝐱)}{\epsilon ^p}\right),𝐱\overline{𝐈},t0.$$

Notice that $`q_\epsilon C^2(\overline{𝐈}\times [0,\mathrm{});)`$ is $`2\pi `$-periodic in its last argument,

$$q_\epsilon _{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}C\epsilon ^{2p}f_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}$$
(0.25)
for some constant $`C>0,`$ and

$$\begin{array}{c}\left(f(𝐗_u,\frac{u}{\epsilon ^2})(𝔸(𝕄f))\left(\left[𝐗_u\right]\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)=\left(q_\epsilon (𝐗_u,\frac{u}{\epsilon ^2})(𝕄q_\epsilon )(𝐗_u)\right)\hfill \\ \hfill +\left((𝕄f)\left(𝐗_u\right)(𝔸(𝕄f))\left(\left[𝐗_u\right]\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right).\end{array}$$
(0.26)
Applying Lemma 0.1, and using (0.25), we obtain

$$𝔼^\epsilon \left[\left|_0^{t\tau }\left(q_\epsilon (𝐗_u,\frac{u}{\epsilon ^2})(𝕄q_\epsilon )\left(𝐗_u\right)\right)𝑑u\right|\right]<C\epsilon ^{12p}(1+t)f_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}.$$
(0.27)
The function $`𝕄fC^3(\overline{𝐈};)`$, and $`𝕄f_{C^3\left(\overline{𝐈}\right)}f_{C^3\left(\overline{𝐈}\times [0,\mathrm{})\right)}.`$ Taking $`𝕄f`$ in place of $`f`$ in Lemma 0.2 we have

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\left((𝕄f)\left(𝐗_u\right)(𝔸(𝕄f))\left(\left[𝐗_u\right]\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\right|\right]\hfill \\ \hfill <C_a\epsilon ^{1p(n+2)}(1+t)f_{C^3\left(\overline{𝐈}\times [0,\mathrm{})\right)}.\end{array}$$
(0.28)
Combine (0.26), (0.27) and (0.28) to complete this proof.

Denote $`\psi (𝐱,t):=(K(𝐱),b(𝐱,t)),`$ then $`𝕄\psi 0`$ and by definition (0.8),

$$\mathrm{\Phi }_\psi (𝐱,t)=_0^t(K(𝐱),b(𝐱,u))𝑑u.$$

###### Lemma 0.4.

For any function $`gC^3(;)`$ and for any $`0<p<1`$ there exists a constant $`C_b>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\{\frac{1}{\epsilon }\psi (𝐗_u,\frac{u}{\epsilon ^2})+(\mathrm{\Phi }_\psi ,b)(𝐗_u,\frac{u}{\epsilon ^2})\}g\left(K\left(𝐗_u\right)\right)\omega \left(\frac{K(𝐗_u)}{\epsilon ^p}\right)du\right|\right]\hfill \\ \hfill <C_b\epsilon ^{13p}(1+t)g_{C^3\left([0,K^{}]\right)}.\end{array}$$

###### Proof.

Let $`k_\epsilon (h)=g(h)\omega \left(\frac{h}{\epsilon ^p}\right),h.`$ By the stopped martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),t0,`$

$`\epsilon \mathrm{\Phi }_\psi (𝐗_{t\tau },{\displaystyle \frac{t\tau }{\epsilon ^2}})k_\epsilon \left(K\left(𝐗_{t\tau }\right)\right)\epsilon \mathrm{\Phi }_\psi (𝐱,0)k_\epsilon \left(K\left(𝐱\right)\right)`$
$`{\displaystyle \frac{1}{\epsilon }}{\displaystyle _0^{t\tau }}{\displaystyle \frac{\mathrm{\Phi }_\psi }{u}}(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})k_\epsilon \left(K\left(𝐗_u\right)\right)𝑑u`$
$`{\displaystyle _0^{t\tau }}(\mathrm{\Phi }_\psi (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}}),b(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}}))k_\epsilon \left(K\left(𝐗_u\right)\right)𝑑u`$
$`\epsilon {\displaystyle _0^{t\tau }}\left(_{u/\epsilon ^2}\mathrm{\Phi }_\psi \right)(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})k_\epsilon \left(K\left(𝐗_u\right)\right)𝑑u`$
$`{\displaystyle _0^{t\tau }}\mathrm{\Phi }_\psi (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\psi (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})k_\epsilon ^{}\left(K\left(𝐗_u\right)\right)𝑑u`$
$`\epsilon {\displaystyle _0^{t\tau }}\mathrm{\Phi }_\psi (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})(_{u/\epsilon ^2}(k_\epsilon K))(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})𝑑u`$
$`2\epsilon {\displaystyle _0^{t\tau }}d\mathrm{\Phi }_\psi ,d(k_\epsilon K)_{u/\epsilon ^2}(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})=\epsilon M_{t\tau }^\epsilon ,`$ (0.29)
where $`M^\epsilon `$ is a $`^\epsilon `$-martingale with its quadratic variation

$$M^\epsilon _t=_0^td\left(\mathrm{\Phi }_\psi \left(k_\epsilon K\right)\right),d\left(\mathrm{\Phi }_\psi \left(k_\epsilon K\right)\right)_{u/\epsilon ^2}(𝐗_u,\frac{u}{\epsilon ^2})𝑑u.$$

Now notice that

$$\frac{\mathrm{\Phi }_\psi }{t}(𝐱,t)=\psi (𝐱,t),$$

rearrange the terms of (0.29) and apply Burkholder-Davis-Gundy inequality to see that there exists a constant $`C>0,`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\{\frac{1}{\epsilon }\psi (𝐗_u,\frac{u}{\epsilon ^2})+(\mathrm{\Phi }_\psi (𝐗_u,\frac{u}{\epsilon ^2}),b(𝐗_u,\frac{u}{\epsilon ^2}))\}k_\epsilon \left(K\left(𝐗_u\right)\right)du\right|\right]\hfill \\ \hfill 𝔼^\epsilon \left[\left|_0^{t\tau }\mathrm{\Phi }_\psi (𝐗_u,\frac{u}{\epsilon ^2})\psi (𝐗_u,\frac{u}{\epsilon ^2})k_\epsilon ^{}\left(K\left(𝐗_u\right)\right)𝑑u\right|\right]\\ \hfill +C\epsilon ^{12p}(1+t)g_{C^2\left([0,K^{}]\right)}.\end{array}$$
(0.30)
Next consider

$$\left(𝕄\left(\mathrm{\Phi }_\psi \psi \left(k_\epsilon ^{}K\right)\right)\right)(𝐱)=k_\epsilon ^{}(K(𝐱))\left(𝕄\left(\mathrm{\Phi }_\psi \psi \right)\right)(𝐱).$$

Since $`b(𝐱,2\pi )=b(𝐱,0)`$ for any $`𝐱,`$ we have $`\mathrm{\Phi }_\psi (𝐱,2\pi )=\mathrm{\Phi }_\psi (𝐱,0)`$ for any $`𝐱`$. Integration by parts reveals that

$$\begin{array}{c}\hfill \left(𝕄\left(\mathrm{\Phi }_\psi \psi \right)\right)(𝐱)=\frac{1}{2\pi }_0^{2\pi }\mathrm{\Phi }_\psi (𝐱,t)\frac{\mathrm{\Phi }_\psi }{t}(𝐱,t)𝑑t0.\end{array}$$

Writing $`r_\epsilon :=\mathrm{\Phi }_\psi \psi \left(k_\epsilon ^{}K\right)`$ we have $`𝕄r_\epsilon 0.`$ Apply Lemma 0.1 with $`r_\epsilon `$ in place of $`f`$ to see that there exists $`C>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }\mathrm{\Phi }_\psi (𝐗_u,\frac{u}{\epsilon ^2})\psi (𝐗_u,\frac{u}{\epsilon ^2})k_\epsilon ^{}\left(K\left(𝐗_u\right)\right)𝑑u\right|\right]\hfill \\ \hfill =𝔼^\epsilon \left[\left|_0^{t\tau }\left(r_\epsilon (𝐗_u,\frac{u}{\epsilon ^2})(𝕄r_\epsilon )(𝐗_u)\right)𝑑u\right|\right]\\ \hfill <C\epsilon ^{13p}(1+t)g_{C^3\left([0,K^{}]\right)}.\end{array}$$

Combine this inequality with (0.30) to complete the proof.

### 3.3 Time spent near the boundary of the critical set

We will use Lemma 0.1 to show that, under $`^\epsilon ,`$ the process $`𝐗`$ does not spend ‘too much time’ near the boundary $`𝐕`$ of the critical set $`\overline{𝐕}.`$ This fact will be effectively used later.

###### Lemma 0.5.

Given $`t0,`$

$$\overline{lim}_{\epsilon 0}\overline{lim}_{\delta 0}𝔼^\epsilon \left[\frac{1}{\delta }_0^{t\tau }\chi _{[\delta ,\delta ]}\left(K(𝐗_u)\right)𝑑u\right]<\mathrm{}.$$

###### Proof.

Let $`vC^{\mathrm{}}(;[0,1])`$ be an even function, such that

$$v(h)=\{\begin{array}{cc}1\hfill & \text{ if }|h|1,\hfill \\ 0\hfill & \text{ if }|h|2.\hfill \end{array}$$

For every $`h`$ and $`\delta >0,`$ we define a function

$$g_\delta (h):=\frac{1}{\delta }_0^h\left(_0^rv\left(\frac{s}{\delta }\right)𝑑s\right)𝑑r,$$

so that

$$g_\delta ^{\prime \prime }(h)=\frac{1}{\delta }v\left(\frac{h}{\delta }\right)\frac{1}{\delta }\chi _{[\delta ,\delta ]}\left(h\right)$$
(0.31)
and $`g_\delta 𝒟^\epsilon .`$ Let $`0t<\tau `$ and $`𝐱\overline{𝐈}.`$ By the martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),`$

$$\begin{array}{cc}\hfill g_\delta \left(K\left(𝐗_t\right)\right)& g_\delta \left(K(𝐱)\right))\frac{1}{\epsilon }_0^tg_\delta ^{}(K\left(𝐗_u\right)\left)\right(K\left(𝐗_u\right),b(𝐗_u,\frac{u}{\epsilon ^2}))du\hfill \\ & _0^tg_\delta ^{}\left(K\left(𝐗_u\right)\right)\left(_{u/\epsilon ^2}K\right)\left(𝐗_u\right)𝑑u\hfill \\ & \frac{1}{2}_0^tg_\delta ^{\prime \prime }\left(K\left(𝐗_u\right)\right)dK,dK_{u/\epsilon ^2}\left(𝐗_u\right)𝑑u\hfill \end{array}$$

is a $`^\epsilon `$-martingale. Set

$$\begin{array}{cc}\hfill f_1(𝐱,t):& =g_\delta ^{}\left(K\left(𝐱\right)\right)(K\left(𝐱\right),b(𝐱,t)),\hfill \\ \hfill f_2(𝐱,t):& =g_\delta ^{}\left(K\left(𝐱\right)\right)\left(_tK\right)\left(𝐱\right),\hfill \\ \hfill f_3(𝐱,t):& =g_\delta ^{\prime \prime }\left(K\left(𝐱\right)\right)dK,dK_t\left(𝐱\right),\hfill \end{array}$$

so that

$$\begin{array}{cc}\hfill \left(𝕄f_1\right)(𝐱)& =g_\delta ^{}\left(K\left(𝐱\right)\right)(K\left(𝐱\right),\left(𝕄b\right)\left(𝐱\right))\hfill \\ & =nK^{n1}(𝐱)g_\delta ^{}\left(K\left(𝐱\right)\right)(K\left(𝐱\right),^{}K\left(𝐱\right))0,\hfill \\ \hfill \left(𝕄f_2\right)(𝐱)& =g_\delta ^{}\left(K\left(𝐱\right)\right)\left(𝕄\left(K\right)\right)\left(𝐱\right),\hfill \\ \hfill \left(𝕄f_3\right)(𝐱)& =g_\delta ^{\prime \prime }\left(K\left(𝐱\right)\right)\left(𝕄dK,dK\right)\left(𝐱\right),\hfill \end{array}$$

and

$$\begin{array}{cc}\hfill g_\delta \left(K\left(𝐗_t\right)\right)& g_\delta \left(K(𝐱)\right))\hfill \\ & \frac{1}{\epsilon }_0^t\left(f_1(𝐗_u,\frac{u}{\epsilon ^2})\left(𝕄f_1\right)\left(𝐗_u\right)\right)𝑑u\hfill \\ & _0^t\left(f_2(𝐗_u,\frac{u}{\epsilon ^2})\left(𝕄f_2\right)\left(𝐗_u\right)\right)𝑑u\hfill \\ & \frac{1}{2}_0^t\left(f_3(𝐗_u,\frac{u}{\epsilon ^2})\left(𝕄f_3\right)\left(𝐗_u\right)\right)𝑑u\hfill \\ & _0^t\left(𝕄f_2\right)\left(𝐗_u\right)𝑑u\hfill \\ & \frac{1}{2}_0^t\left(𝕄f_3\right)\left(𝐗_u\right)𝑑u\hfill \end{array}$$

is a $`^\epsilon `$-martingale. Then for any $`\epsilon >0,\delta >0,`$ and for any $`0t\tau ,`$

$`{\displaystyle \frac{1}{2}}𝔼^\epsilon \left[{\displaystyle _0^t}\left(𝕄f_3\right)\left(𝐗_u\right)𝑑u\right]`$ $`𝔼^\epsilon \left[\left|g_\delta \left(K\left(𝐗_t\right)\right)g_\delta \left(K\left(𝐱\right)\right)\right|\right]`$
$`+{\displaystyle \frac{1}{\epsilon }}𝔼^\epsilon \left[\left|{\displaystyle _0^t}\left(f_1(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\left(𝕄f_1\right)\left(𝐗_u\right)\right)𝑑u\right|\right]`$
$`+𝔼^\epsilon \left[\left|{\displaystyle _0^t}\left(f_2(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\left(𝕄f_2\right)\left(𝐗_u\right)\right)𝑑u\right|\right]`$
$`+{\displaystyle \frac{1}{2}}𝔼^\epsilon \left[\left|{\displaystyle _0^t}\left(f_3(𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\left(𝕄f_3\right)\left(𝐗_u\right)\right)𝑑u\right|\right]`$
$`+𝔼^\epsilon \left[\left|{\displaystyle _0^t}\left(𝕄f_2\right)\left(𝐗_u\right)𝑑u\right|\right].`$ (0.32)
We use Remark 0.1 to make sure that

$$C_1:=\frac{1}{2}\underset{𝐲\overline{}}{inf}\left(𝕄dK,dK\right)(𝐲)>0,$$

which, together with inequality (0.31), guarantees that for all $`𝐱\overline{𝐈}`$ and for any $`0<\delta <a`$

$$\left(𝕄f_3\right)(𝐱)C_1\frac{1}{\delta }\chi _{[\delta ,\delta ]}\left(K\left(𝐱\right)\right).$$

Notice that each of the functions $`f_iC^2(\overline{𝐈}\times [0,\mathrm{});),i=1,2,3,`$ is $`2\pi `$-periodic in its last argument, i.e., each of these three functions $`f_i`$ satisfy all the hypotheses on the function $`f`$ in Lemma 0.1. Now, inequality (0.32) and Lemma 0.1 together imply that for all $`𝐱\overline{𝐈},`$ all $`0t\tau ,`$ and for all $`0<\delta <a,`$

$$\begin{array}{c}C_1𝔼^\epsilon \left[\frac{1}{\delta }_0^t\chi _{[\delta ,\delta ]}\left(K\left(𝐗_u\right)\right)𝑑u\right]𝔼^\epsilon \left[\left|g_\delta \left(K\left(𝐗_t\right)\right)g_\delta \left(K\left(𝐱\right)\right)\right|\right]\hfill \\ \hfill +C(1+t)\left(f_1_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}+\epsilon f_2_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}+\epsilon f_3_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)}\right)\\ \hfill +𝔼^\epsilon \left[\left|_0^t\left(𝕄f_2\right)\left(𝐗_u\right)𝑑u\right|\right].\end{array}$$
(0.33)
For all $`\delta >0,`$ there exists a constant $`C^{}>0`$ such that

$$\underset{K^{}hK^{}}{sup}\left|g_\delta ^{}(h)\right|C^{}\text{ and }\underset{K^{}hK^{}}{sup}\left|g_\delta (h)\right|C^{}.$$

Then, for all $`\delta >0,`$ all $`0t\tau ,`$ and $`𝐱\overline{𝐈},`$

$$𝔼^\epsilon \left[\left|g_\delta \left(K\left(𝐗_t\right)\right)g_\delta \left(K\left(𝐱\right)\right)\right|\right]2C^{}$$
(0.34)
and there exists a positive constant $`C^{}`$ such that

$$𝔼^\epsilon \left[\left|_0^t\left(𝕄f_2\right)(𝐗_u)𝑑u\right|\right]<C^{}tK_{C^2\left(\overline{𝐈}\right)}.$$
(0.35)
Denote $`C_{f_i}=f_i_{C^2\left(\overline{𝐈}\times [0,\mathrm{})\right)},i=1,2,3,`$ $`C_K=K_{C^2\left(\overline{𝐈}\right)}.`$ Plug inequalities (0.34) and (0.35) into (0.33) to obtain that for all $`t>0,`$

$$\begin{array}{cc}\hfill \overline{lim}_{\delta 0}𝔼^\epsilon & \left[\frac{1}{\delta }_0^{t\tau }\chi _{[\delta ,\delta ]}\left(K\left(𝐗_u\right)\right)𝑑u\right]\hfill \\ & \frac{1}{C_1}\left(2C^{}+C(1+t)\left(C_{f_1}+\epsilon C_{f_2}+\epsilon C_{f_3}\right)+C^{}C_Kt\right).\hfill \end{array}$$

Finally, let $`\epsilon `$ tend to $`0`$ to see that the last inequality implies that

$$\begin{array}{cc}\hfill \overline{lim}_{\epsilon 0}\overline{lim}_{\delta 0}𝔼^\epsilon & \left[\frac{1}{\delta }_0^{t\tau }\chi _{[\delta ,\delta ]}\left(K\left(𝐗_u\right)\right)𝑑u\right]\overline{C}+\overline{\overline{C}}t,\hfill \end{array}$$

where $`\overline{C}=\left(2C^{}+CC_{f_1}\right)/C_1<\mathrm{},`$ and $`\overline{\overline{C}}=\left(C^{}C_K+CC_{f_1}\right)/C_1<\mathrm{}.`$

###### Remark 0.4.

For the purpose of our proof, the lemma above is not stated in the most general form. The following more general result holds.

Given $`t0,`$ and a function $`vL_1\left(\right)`$,

$$\overline{lim}_{\epsilon 0}\overline{lim}_{\delta 0}𝔼^\epsilon \left[\frac{1}{\delta }_0^{t\tau }v\left(\frac{K(𝐗_u)}{\delta }\right)𝑑u\right]<\mathrm{}.$$
(0.36)
We can prove this statement analogously, setting $`g_\delta ^{\prime \prime }(h)=\frac{1}{\delta }v\left(\frac{h}{\delta }\right)`$. Then $`g_\delta ^{}(h)=_0^{h/\delta }v(s)𝑑s,`$ and $`g_\delta (h)=\delta _0^{h/\delta }\left(_0^sv\left(u\right)𝑑u\right)𝑑s.`$

For all $`\delta >0,`$ there exists a constant $`C^{}>0`$ such that

$$\underset{K^{}hK^{}}{sup}\left|g_\delta ^{}(h)\right|_0^{\mathrm{}}v\left(s\right)𝑑sC^{}$$

and

$$\underset{K^{}hK^{}}{sup}\left|g_\delta (h)\right|\underset{K^{}hK^{}}{sup}\left|\delta _0^{h/\delta }\left(_0^{\mathrm{}}v\left(u\right)𝑑u\right)𝑑s\right|C^{}.$$

Now, to verify inequality (0.36), we can repeat all the arguments of the proof of Lemma 0.5.

### 3.4 Stochastic averaging around the boundary of the critical set

In order to perform analysis close to $`𝐕,`$ and to achieve sufficient accuracy, we will introduce new coordinates defined on $``$. We will use the flow $`\zeta _t`$ defined on $``$ by

$$\dot{\zeta }_t(𝐱)=\frac{K}{K^2}\left(\zeta _t(𝐱)\right),\zeta _0(𝐱)=𝐱.$$
(0.37)
Notice that for any $`𝐱`$

$$\begin{array}{c}\hfill \frac{dK}{dt}\left(\zeta _t(𝐱)\right)=(K\left(\zeta _t(𝐱)\right),\dot{\zeta }_t(𝐱))1,\end{array}$$

and if $`𝐱𝐕`$, then $`K(\zeta _t(𝐱))=t`$ for all $`a<t<a.`$ Fix a point $`𝐱^{}𝐕,`$ and define the curve

$$𝒞:=\{\zeta _s(𝐱^{}):a<s<a\}.$$

We reverse time to emphasize that a trajectory of the constructed flow moves a point $`𝐱𝒞`$ towards (not away from) $`𝐱^{}𝐕.`$

Notice that $`=\{\varphi _t(𝐱):𝐱𝒞,0t<\eta \left(K(𝐱)\right)\},`$ and in particular the map $`(t,s)\varphi _t\left(\zeta _s\left(𝐱^{}\right)\right)`$ is a homeomorphism from

$$\{(t,s)^2:a<s<a,0t<\eta \left(K\left(\zeta _s\left(𝐱^{}\right)\right)\right)\}$$

to $``$. This is the foundation of our new coordinate system for $``$. It is advantageous to normalize the first coordinate by setting

$$\beta (s):=_{𝐲K^1(s)}\frac{\left(𝕄dK,dK\right)\left(𝐲\right)}{K(𝐲)}𝑑l(y),\mathrm{\Theta }(𝐱):=_0^t\left(𝕄dK,dK\right)\left(\varphi _s(𝐱)\right)𝑑s,$$

where $`t`$ satisfies $`\varphi _t\left(\zeta _s\left(𝐱^{}\right)\right)=𝐱`$. The map $`\rho :𝐱(\mathrm{\Theta }(𝐱),K(𝐱))`$ is a homeomorphism from the set $``$ onto $`\{(\theta ,s)^2:a<s<a,0\theta <\beta (s)\}.`$ For future reference, notice that for any $`𝐱𝒞`$

$$(\mathrm{\Theta }(𝐱),^{}K(𝐱))=\left(𝕄dK,dK\right)(𝐱).$$
(0.38)
This equation reflects the essential property of our new coordinates, that equal increments of $`\mathrm{\Theta }`$ correspond to equal amounts of diffusion across $`𝐕`$. Recall the definition (0.14) of $`\mathrm{\Psi }_f`$, and define

$$\stackrel{˘}{\mathrm{\Psi }}_f:=\mathrm{\Psi }_f\rho ^1.$$

That is, for any $`𝐱,\mathrm{\Psi }_f(𝐱)=\stackrel{˘}{\mathrm{\Psi }}_f(\theta ,s)`$ with $`\theta =\mathrm{\Theta }(𝐱)`$ and $`s=K(𝐱).`$ We can specify $`f`$ so that $`\stackrel{˘}{\mathrm{\Psi }}_f(\theta ,0)C^5\left(\right),`$ and $`\stackrel{˘}{\mathrm{\Psi }}_f(\theta +\beta (s),s)=\stackrel{˘}{\mathrm{\Psi }}_f(\theta ,s),\theta ,a<s<a.`$ Using property (0.38) of the new coordinates, for all $`𝐱𝒞,`$

$$\begin{array}{c}(\mathrm{\Psi }_f(𝐱),^{}K(𝐱))=(\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{\theta }\mathrm{\Theta }(𝐱)+\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{s}K(𝐱),^{}K(𝐱))\hfill \\ \hfill =\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{\theta }(\mathrm{\Theta }(𝐱),^{}K(𝐱))=\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{\theta }\left(𝕄dK,dK\right)(𝐱),\end{array}$$
(0.39)
with all the derivatives of $`\stackrel{˘}{\mathrm{\Psi }}_f`$ computed at $`(\mathrm{\Theta }(𝐱),K(𝐱)).`$

As before, we assume that function $`\omega C_c^{\mathrm{}}()`$ is supported on a compact subset of $`(0,\mathrm{}).`$ We will borrow the following proposition from \[S.1\], only with minor changes.

###### Proposition 0.2.

Let $`p=1/(n+1)`$ and

$$\overline{\omega }(h):=\omega (h^{2p})h^{2p},h.$$

There exists a function $`BC^2\left(\times [0,\mathrm{})\right)`$ such that

$`n{\displaystyle \frac{B}{\theta }}+{\displaystyle \frac{(n+1)^2}{8}}{\displaystyle \frac{^2B}{s^2}}+{\displaystyle \frac{n^21}{8s}}{\displaystyle \frac{B}{s}}={\displaystyle \frac{\stackrel{˘}{\mathrm{\Psi }}_f(\theta ,0)}{\theta }}\overline{\omega }(s),`$
$`B(\theta +\beta (0),s)=B(\theta ,s),`$
$`\left|^\alpha B(\theta ,s)\right|C\stackrel{˘}{\mathrm{\Psi }}_f(,0)_{C^5\left(\right)}e^{s/C}`$ (0.40)
for all $`(\theta ,s)\times (0,\mathrm{}),`$ for some constant $`C>0,`$ and for any multi-index $`\alpha ,|\alpha |2`$, and such that

$$\begin{array}{cc}& \frac{B(\theta ,0)}{s}=0\hfill \end{array}$$
(0.41)
for all $`\theta .`$

It was shown in \[S.1\] that solving (0.40) involves Fourier analysis and leads to an inhomogeneous Bessel’s ordinary differential equation. The unique explicit solution is expressed via Bessel functions of small order and purely imaginary argument.

Define the functions $`𝖽_n:`$ by $`𝖽_n(h):=\left(\mathrm{max}\{0,h\}\right)^n.`$ This sequence satisfies the recursive relation $`𝖽_n(h)=h𝖽_{n1}(h).`$ For some $`n>2,H(𝐱)=𝖽_n\left(K(𝐱)\right)`$ and $`^{}H(𝐱)=n𝖽_{n1}\left(K(𝐱)\right)^{}K(𝐱)`$ for all $`𝐱^2`$.

###### Proposition 0.3.

There exists a constant $`C>0`$ such that for any $`fC^5(^2;)`$ and for any $`0<p<1`$

$$\begin{array}{c}\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(f\left(𝐗_u\right)\left(𝔸f\right)\left([𝐗_u]\right)\right)𝖽_n\left(K\left(𝐗_u\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ \hfill <C\epsilon ^{1+p}(1+t)f_{C^5(\overline{𝐈})}.\end{array}$$
(0.42)
whenever $`0t_1<t_2<\mathrm{}<t_ms<t,`$ and $`h_1,\mathrm{},h_mC_b(^2).`$

###### Remark 0.5.

Since $`\omega `$ has compact support we can find a constant $`C^{}>0`$ such that for any $`𝐱\overline{𝐈}`$

$$\left|𝖽_n\left(K(𝐱)\right)\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right)\right|<C^{}\epsilon ^{np}\chi _{[\epsilon ^p,\epsilon ^p]}\left(K(𝐱)\right).$$

Then, by Lemma 0.5, there exist constants $`C^{},C>0,`$ such that

$$\begin{array}{cc}\hfill |𝔼^\epsilon [_{s\tau }^{t\tau }(f\left(𝐗_u\right).& .\left(𝔸f\right)\left([𝐗_u]\right))𝖽_n\left(K\left(𝐗_u\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)du\left]\right|\hfill \\ & <C^{}\epsilon ^{np}f_{C(\overline{𝐈})}𝔼^\epsilon _{s\tau }^{t\tau }\chi _{[\epsilon ^p,\epsilon ^p]}\left(K\left(𝐗_u\right)\right)𝑑u\hfill \\ & <C\epsilon ^{p(n+1)}f_{C(\overline{𝐈})}.\hfill \end{array}$$

For values of $`p<1/n`$, Proposition 0.3 provides a better bound.

###### Proof.

For every $`𝐱\overline{𝐈}`$ and for all $`fC^4(^2;)`$ we define

$$𝔾_f^\epsilon (𝐱):=\frac{1}{\epsilon }\left(f\left(𝐱\right)\left(𝔸_0f\right)([𝐱])\right)𝖽_n\left(K(𝐱)\right)\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right).$$

We will perform stochastic averaging using the martingale problem. This approach was developed by Papanicolaou and Kohler \[P.-K.\]. We will look for a function $`\mathrm{\Psi }^\epsilon C^2\left(^2\right)`$ that satisfies

$$\underset{\epsilon 0}{lim}\epsilon ^p\mathrm{\Psi }^\epsilon _{C\left(\overline{𝐈}\right)}<\mathrm{},$$

and which, for every $`\epsilon >0,`$ $`t0,`$ solves the approximate partial differential equation

$$\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱),𝐱\overline{𝐈}.$$
(0.43)
From the approximate equation (0.43), by Lemma 0.1, and by the stopped martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),`$

$$\begin{array}{c}_0^{t\tau }𝔾_f^\epsilon \left(𝐗_u\right)𝑑u_0^{t\tau }\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)\left(𝐗_u\right)𝑑u_0^{t\tau }\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }^\epsilon \right)\left(𝐗_u\right)𝑑u\hfill \\ \hfill =\mathrm{\Psi }^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }^\epsilon \left(𝐗_0\right)+M_{t\tau }^\epsilon ,\end{array}$$

where $`M_{t\tau }^\epsilon `$ is a $`^\epsilon `$-martingale. Then, we will finish the proof by optional sampling for this martingale.

The operator

$$\epsilon 𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)=(\mathrm{\Psi }^\epsilon (𝐱),^{}H(𝐱))+\epsilon 𝕄\left(\mathrm{\Psi }^\epsilon \right)$$

has drift of order $`1`$ and small diffusion, which leads to a singular perturbation problem.

Notice from (0.19) and from property (0.39) of the new coordinates that for every $`𝐱𝒞`$

$$𝔾_f^\epsilon (𝐱):=\epsilon ^1\frac{\stackrel{˘}{\mathrm{\Psi }}_f(\mathrm{\Theta }(𝐱),K(𝐱))}{\theta }𝖽_n\left(K(𝐱)\right)\omega \left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right)\left(𝕄dK,dK\right)(𝐱).$$
(0.44)
Recall that $`\overline{\omega }(h)=\omega (h^{2p})h^{2p},h,`$ and write $`𝖽_n(h)`$ as $`𝖽_{n1}(h)h.`$ Then, from (0.44),

$$𝔾_f^\epsilon (𝐱):=\epsilon ^{p1}\frac{\stackrel{˘}{\mathrm{\Psi }}_f(\mathrm{\Theta }(𝐱),K(𝐱))}{\theta }𝖽_{n1}\left(K(𝐱)\right)\overline{\omega }\left(\frac{𝖽_{1/2p}\left(K\left(𝐱\right)\right)}{\sqrt{\epsilon }}\right)\left(𝕄dK,dK\right)(𝐱).$$

For all $`𝐱`$ we define

$$\mathrm{\Theta }^{}(𝐱):=\frac{\beta (0)}{\beta (K(𝐱))}\mathrm{\Theta }(𝐱).$$

To continue with this proof, we state and prove the following lemma.

###### Lemma 0.6.

Let $`fC^5(^2;)`$. Let $`B`$ satisfy the hypotheses of Proposition 0.2, and for every $`\epsilon >0`$ define

$$B^\epsilon (𝐱):=\epsilon ^pB(\mathrm{\Theta }^{}(𝐱),\frac{𝖽_{1/2p}\left(K(𝐱)\right)}{\sqrt{\epsilon }})$$

for all $`𝐱`$. Then

$$B^\epsilon C^1()C^2\left((𝐕𝒞)\right),$$

and

$$\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱):=\underset{\begin{array}{c}𝐲𝐱\\ 𝐲(𝐕𝒞)\end{array}}{lim}\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐲)$$

exists for all $`𝐱𝐕𝒞.`$ There exist positive constants $`C_1,C_2>0`$ such that

$$\left|\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)\right|C_1f_{C^5(\overline{𝐈})}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\},$$

$$\sqrt{\left(𝕄dB^\epsilon ,dB^\epsilon \right)(𝐱)}C_1f_{C^5(\overline{𝐈})}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\},$$

and

$$\left|B^\epsilon (𝐱)\right|C_1\epsilon ^pf_{C^5(\overline{𝐈})}$$

for all $`𝐱(𝐕𝒞)`$ and $`\epsilon >0.`$

###### Proof.

First of all, recall that the small set $`=\{𝐲^2:\left|K(𝐲)\right|<a\}𝐕`$ is homeomorphic to the set $`\{(\theta ,s)^2:a<s<a,0\theta <\beta (s)\},`$ and that $`𝒞`$ is a fixed curve in $`,`$ which crosses all $`K^1(s)`$ transversally.

Notice that the definition of $`B^\epsilon `$ can be rewritten more explicitly as

$$B^\epsilon (𝐱):=\{\begin{array}{cc}\epsilon ^pB(\mathrm{\Theta }^{}(𝐱),0)\hfill & \text{ if }a<K(𝐱)<0,\hfill \\ \epsilon ^pB(\mathrm{\Theta }^{}(𝐱),\sqrt{\frac{K^{n+1}(𝐱)}{\epsilon }})\hfill & \text{ if }\mathrm{\hspace{0.17em}0}K(𝐱)<a.\hfill \end{array}$$

We know that $`BC^2\left(\times [0,\mathrm{})\right)`$ is periodic in its first argument, which, together with the properties of $`\mathrm{\Theta }^{}`$ and $`𝖽_{1/2p}K`$ away from $`𝐕𝒞,`$ guarantees that $`B^\epsilon C^2\left(\left(𝐕𝒞\right)\right).`$

The function $`K`$ is smooth inside $`,`$ and $`1/2p=(n1)/2>0`$ implies differentiability of $`𝖽_{1/2p}`$ on $`(a,a).`$ Therefore, we are guaranteed that $`𝖽_{1/2p}KC^1()`$. By the definition of $`\mathrm{\Theta }^{},`$ it is guaranteed to be differentiable on $`.`$ Notice that given any $`𝐱,`$ we have $`\text{span}\{K(𝐱),^{}K(𝐱)\}=^2`$. From the periodicity in the first argument and from the boundary conditions on $`B`$, we also see that for every $`𝐱`$ both $`lim_{𝐲𝐱}(K,B^\epsilon )(𝐲)`$ and $`lim_{𝐲𝐱}(^{}K,B^\epsilon )(𝐲)`$ exist. Therefore, $`B^\epsilon C^1\left(\right).`$ Thus, $`B^\epsilon C^1\left(\right)C^2\left(\left(𝐕𝒞\right)\right).`$

Let $`𝐱\left(𝐕𝒞\right),`$ and consider

$`_t^\epsilon B(\mathrm{\Theta }^{}(𝐱),{\displaystyle \frac{𝖽_{1/2p}\left(K(𝐱)\right)}{\sqrt{\epsilon }}})`$ $`={\displaystyle \frac{1}{2}}{\displaystyle \frac{^2B}{\theta ^2}}d\mathrm{\Theta }^{}d\mathrm{\Theta }^{}_t(𝐱)+{\displaystyle \frac{B}{\theta }}\left(_t\mathrm{\Theta }^{}\right)(𝐱)`$
$`+{\displaystyle \frac{1}{\sqrt{\epsilon }}}𝖽_{1/2p}^{}\left(K(𝐱)\right){\displaystyle \frac{^2B}{s\theta }}dK,d\mathrm{\Theta }^{}_t(𝐱)`$
$`+{\displaystyle \frac{1}{2\epsilon }}{\displaystyle \frac{^2B}{s^2}}\left(𝖽_{1/2p}^{}\left(K(𝐱)\right)\right)^2dK,dK_t(𝐱)`$
$`+{\displaystyle \frac{1}{2\sqrt{\epsilon }}}{\displaystyle \frac{B}{s}}𝖽_{1/2p}^{\prime \prime }\left(K(𝐱)\right)dK,dK_t(𝐱)`$
$`+{\displaystyle \frac{1}{\sqrt{\epsilon }}}{\displaystyle \frac{B}{s}}𝖽_{1/2p}^{}\left(K(𝐱)\right)\left(_tK\right)(𝐱),`$ (0.45)
and

$`dB,dB_t(𝐱)`$ $`=\left({\displaystyle \frac{B}{\theta }}\right)^2d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}_t(𝐱)`$
$`+{\displaystyle \frac{1}{\epsilon }}\left({\displaystyle \frac{B}{s}}\right)^2\left(𝖽_{1/2p}^{}\left(K(𝐱)\right)\right)^2dK,dK_t(𝐱)`$
$`+{\displaystyle \frac{2}{\sqrt{\epsilon }}}{\displaystyle \frac{B}{\theta }}{\displaystyle \frac{B}{s}}𝖽_{1/2p}^{}\left(K(𝐱)\right)d\mathrm{\Theta }^{},dK_t(𝐱).`$ (0.46)
Here and below, $`B`$ and its partial derivatives are evaluated at $`(\mathrm{\Theta }^{}(𝐱),\frac{𝖽_{1/2p}\left(K(𝐱)\right)}{\sqrt{\epsilon }}),`$ unless specified otherwise. From (0.45) and (0.46), using

$$𝖽_{1/2p}^{}(h)=\frac{1}{2p}𝖽_{1/2p1}(h)$$

and

$$𝖽_{1/2p}^{\prime \prime }(h)=\frac{1}{2p}\left(\frac{1}{2p}1\right)𝖽_{1/2p2}(h),$$

we can see that

$`\left(_t^\epsilon B^\epsilon \right)(𝐱)`$ $`={\displaystyle \frac{1}{\epsilon }}(B^\epsilon (𝐱),b(𝐱,t))+\left(_tB^\epsilon \right)(𝐱)=\epsilon ^{p1}{\displaystyle \frac{B}{\theta }}(\mathrm{\Theta }^{}(𝐱),b(𝐱,t))`$
$`+\epsilon ^{p3/2}{\displaystyle \frac{B}{s}}m𝖽_{1/2p1}\left(K(𝐱)\right)(K(𝐱),b(𝐱,t))`$
$`+\epsilon ^p({\displaystyle \frac{1}{2}}{\displaystyle \frac{^2B}{\theta ^2}}d\mathrm{\Theta }^{}d\mathrm{\Theta }^{}_t(𝐱)+{\displaystyle \frac{B}{\theta }}\left(_t\mathrm{\Theta }^{}\right)(𝐱)`$
$`+{\displaystyle \frac{1}{\sqrt{\epsilon }}}{\displaystyle \frac{1}{2p}}𝖽_{1/2p1}\left(K(𝐱)\right){\displaystyle \frac{^2B}{s\theta }}dK,d\mathrm{\Theta }^{}_t(𝐱)`$
$`+{\displaystyle \frac{1}{2\epsilon }}{\displaystyle \frac{^2B}{s^2}}\left({\displaystyle \frac{1}{2p}}\right)^2𝖽_{1/2p1}^2\left(K(𝐱)\right)dK,dK_t(𝐱)`$
$`+{\displaystyle \frac{1}{2\sqrt{\epsilon }}}{\displaystyle \frac{B}{s}}{\displaystyle \frac{1}{2p}}\left({\displaystyle \frac{1}{2p}}1\right)𝖽_{1/2p2}\left(K(𝐱)\right)dK,dK_t(𝐱)`$
$`+{\displaystyle \frac{1}{\sqrt{\epsilon }}}{\displaystyle \frac{B}{s}}{\displaystyle \frac{1}{2p}}𝖽_{1/2p1}\left(K(𝐱)\right)\left(_tK\right)(𝐱))`$ (0.47)
and

$`dB^\epsilon ,dB^\epsilon _t(𝐱)`$ $`=\epsilon ^{2p}\left({\displaystyle \frac{B}{\theta }}\right)^2d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}_t(𝐱)`$
$`+\epsilon ^{2p1}\left({\displaystyle \frac{1}{2p}}\right)^2\left({\displaystyle \frac{B}{s}}\right)^2𝖽_{1/2p1}^2\left(K(𝐱)\right)dK,dK_t(𝐱)`$
$`+2\epsilon ^{2p1/2}{\displaystyle \frac{B}{\theta }}{\displaystyle \frac{B}{s}}{\displaystyle \frac{1}{2p}}𝖽_{1/2p1}\left(K(𝐱)\right)dK,d\mathrm{\Theta }^{}_t(𝐱).`$ (0.48)
Recall that $`\left(𝕄(K,b)\right)(𝐱)=0.`$ Then, from (0.47),

$$\begin{array}{cc}\hfill \left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)& =\frac{12p}{8p^2}\epsilon ^{p1/2}𝖽_{1/2p2}\left(K(𝐱)\right)\frac{B}{s}\left(𝕄dK,dK\right)(𝐱)\hfill \\ & +\frac{1}{8p^2}\epsilon ^{p1}𝖽_{1/2p1}^2\left(K(𝐱)\right)\frac{^2B}{s^2}\left(𝕄dK,dK\right)(𝐱)\hfill \\ & +\frac{1}{2p}\epsilon ^{p1/2}𝖽_{1/2p1}\left(K(𝐱)\right)\frac{B}{s}\left(𝕄\left(K\right)\right)(𝐱)\hfill \\ & +\frac{1}{2p}\epsilon ^{p1/2}𝖽_{1/2p1}\left(K(𝐱)\right)\frac{^2B}{s\theta }\left(𝕄dK,d\mathrm{\Theta }^{}\right)(𝐱)\hfill \\ & +\epsilon ^p\left[\frac{B}{\theta }\left(𝕄\left(\mathrm{\Theta }^{}\right)\right)(𝐱)+\frac{1}{2}\frac{^2B}{\theta ^2}\left(𝕄d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}\right)(𝐱)\right]\hfill \\ & +n\epsilon ^{p1}𝖽_{n1}\left(K(𝐱)\right)\frac{B}{\theta }(\mathrm{\Theta }^{}(𝐱),^{}K(𝐱)),\hfill \end{array}$$

and from (0.48),

$$\begin{array}{cc}\hfill \left(𝕄dB^\epsilon ,dB^\epsilon \right)(𝐱)& =\epsilon ^{2p}\left(\frac{B}{\theta }\right)^2\left(𝕄d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}\right)(𝐱)\hfill \\ & +\frac{1}{4p^2}\epsilon ^{2p1}\left(\frac{B}{s}\right)^2𝖽_{1/2p1}^2\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱)\hfill \\ & +\frac{1}{p}\epsilon ^{2p1/2}\frac{B}{\theta }\frac{B}{s}𝖽_{1/2p1}\left(K(𝐱)\right)\left(𝕄dK,d\mathrm{\Theta }^{}\right)(𝐱).\hfill \end{array}$$

From (0.38),

$$(\mathrm{\Theta }^{}(𝐱),^{}K(𝐱))=\frac{\beta (0)}{\beta \left(K(𝐱)\right)}\left(𝕄dK,dK\right)(𝐱).$$

Take $`p=\frac{1}{n+1}`$. Then, $`\frac{12p}{8p^2}=\frac{n^21}{8},`$ $`\frac{1}{8p^2}=\frac{(n+1)^2}{8},`$ and

$`\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)`$ $`=\epsilon ^{p1}𝖽_{n1}\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱)`$
$`\times \left(n{\displaystyle \frac{B}{\theta }}+{\displaystyle \frac{(n+1)^2}{8}}{\displaystyle \frac{^2B}{s^2}}+{\displaystyle \frac{n^21}{8}}\left({\displaystyle \frac{𝖽_{1/2p}\left(K(𝐱)\right)}{\sqrt{\epsilon }}}\right)^1{\displaystyle \frac{B}{s}}\right)`$
$`+I_1^\epsilon (𝐱)+I_2^\epsilon (𝐱)+I_3^\epsilon (𝐱)=𝔾_f^\epsilon (𝐱)+{\displaystyle \underset{i=1}{\overset{4}{}}}I_i^\epsilon (𝐱),`$ (0.49)
where

$$I_1^\epsilon (𝐱)=\frac{1}{2p}\epsilon ^{p1/2}𝖽_{1/2p1}\left(K(𝐱)\right)\left[\frac{B}{s}\left(𝕄\left(K\right)\right)(𝐱)+\frac{^2B}{s\theta }\left(𝕄dK,d\mathrm{\Theta }^{}\right)(𝐱)\right],$$

$$I_2^\epsilon (𝐱)=\epsilon ^p\left[\frac{B}{\theta }\left(𝕄\left(\mathrm{\Theta }^{}\right)\right)(𝐱)+\frac{1}{2}\frac{^2B}{\theta ^2}\left(𝕄d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}\right)(𝐱)\right],$$

$$I_3^\epsilon (𝐱)=n\epsilon ^{p1}𝖽_{n1}\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱)\frac{\beta (0)\beta \left(K(𝐱)\right)}{\beta \left(K(𝐱)\right)}\frac{B}{\theta },$$

$$I_4^\epsilon (𝐱)=\epsilon ^{p1}𝖽_{n1}\left(K(𝐱)\right)\left(\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{\theta }(\mathrm{\Theta }(𝐱),K(𝐱))\frac{\stackrel{˘}{\mathrm{\Psi }}_f}{\theta }(\mathrm{\Theta }^{},0)\right)\left(𝕄dK,dK\right)(𝐱).$$

From this we see that

$$\underset{\begin{array}{c}𝐲𝐱\\ 𝐲(𝐕𝒞)\end{array}}{lim}\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐲)$$

exists for all $`𝐱𝐕𝒞`$. Also, $`\left(𝕄dB^\epsilon ,dB^\epsilon \right)(𝐱)=_{i=5}^7I_i^\epsilon (𝐱),`$ where

$$I_5^\epsilon (𝐱)=\epsilon ^{2p}\left(\frac{B}{\theta }\right)^2\left(𝕄d\mathrm{\Theta }^{},d\mathrm{\Theta }^{}\right)(𝐱),$$

$$I_6^\epsilon (𝐱)=\frac{1}{4p^2}\epsilon ^{2p1}\left(\frac{B}{s}\right)^2𝖽_{n1}\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱),$$

and

$$I_7^\epsilon (𝐱)=\frac{1}{p}\epsilon ^{2p1/2}\frac{B}{\theta }\frac{B}{s}𝖽_{1/2p1}\left(K(𝐱)\right)\left(𝕄dK,d\mathrm{\Theta }^{}\right)(𝐱).$$

From Proposition 0.2, we know that $`BC^2\left(\times [0,\mathrm{})\right)`$ and

$$\left|^\alpha B(\theta ,s)\right|C\stackrel{˘}{\mathrm{\Psi }}_f(,0)_{C^5\left(\right)}e^{s/C}$$
(0.50)
for all $`(\theta ,s)\times (0,\mathrm{}),`$ for some constant $`C>0,`$ and for any multi-index $`\alpha ,|\alpha |2.`$ Also, there exists a positive constant which does not depend of $`f`$ such that

$$\stackrel{˘}{\mathrm{\Psi }}_f(,0)_{C^5\left(\right)}Cf_{C^5\left(\overline{𝐈}\right)}.$$
(0.51)
Combining inequalities (0.50) and (0.51), we see that there exist constants $`C_1,C_2>0`$ such that

$$\left|^\alpha B(\theta ,s)\right|C_1f_{C^5\left(\overline{𝐈}\right)}e^{s/C_2}$$
(0.52)
for all $`(\theta ,s)\times (0,\mathrm{}),`$ and for any multi-index $`\alpha ,|\alpha |2.`$ Now, for every $`𝐱\left(𝐕𝒞\right),`$ there exist positive constants $`C_1,C_2`$ such that

$$\left|B^\epsilon (𝐱)\right|\epsilon ^p\left|^0B(\theta ,0)\right|C_1\epsilon ^pf_{C^5\left(\overline{𝐈}\right)},$$

and positive constants $`C_{ij}`$ such that

$$\begin{array}{cc}\hfill \left|I_1^\epsilon (𝐱)\right|& C_{11}\epsilon ^{p1/2}\epsilon ^{p\left((1/2p)1\right)}f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\}\hfill \\ & =C_{12}f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

$$\begin{array}{cc}\hfill \left|I_2^\epsilon (𝐱)\right|& C_{21}\epsilon ^pf_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

$$\begin{array}{cc}\hfill \left|I_3^\epsilon (𝐱)\right|& C_{31}n\epsilon ^{p1}\left|\frac{\beta ^{}(K(𝐱))}{\beta (K(𝐱))}\right|𝖽_n\left(K(𝐱)\right)f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\}\hfill \\ & C_{32}n\epsilon ^{p1+pn}f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\}\hfill \\ & C_{33}f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

$$\begin{array}{cc}\hfill \left|I_4^\epsilon (𝐱)\right|& C_{41}\epsilon ^pf_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

$$\begin{array}{cc}\hfill \left|I_5^\epsilon (𝐱)\right|& C_{51}^2\epsilon ^{2p}f_{C^5\left(\overline{𝐈}\right)}^2\mathrm{exp}\left\{\frac{2|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

$$\begin{array}{cc}\hfill \left|I_6^\epsilon (𝐱)\right|& C_{61}^2\epsilon ^{2p1+p(n1)}f_{C^5\left(\overline{𝐈}\right)}^2\mathrm{exp}\left\{\frac{2|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\}\hfill \\ & =C_{62}^2f_{C^5\left(\overline{𝐈}\right)}^2\mathrm{exp}\left\{\frac{2|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\},\hfill \end{array}$$

and

$$\begin{array}{cc}\hfill \left|I_7^\epsilon (𝐱)\right|& C_{71}^2\epsilon ^pf_{C^5\left(\overline{𝐈}\right)}^2\mathrm{exp}\left\{\frac{2|K(𝐱)|^{1/2p}}{C\sqrt{\epsilon }}\right\}.\hfill \end{array}$$

Then, there exist positive constants $`C_1`$ and $`C_2`$ such that for every $`𝐱\left(𝐕𝒞\right)`$

$$\begin{array}{c}\hfill \left|\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)\right|\underset{i=1}{\overset{5}{}}\left|I_i^\epsilon (𝐱)\right|C_1f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\}\end{array}$$

and

$$\begin{array}{c}\hfill \sqrt{\left(𝕄dB^\epsilon ,dB^\epsilon \right)(𝐱)}\underset{i=5}{\overset{7}{}}\sqrt{\left|I_i^\epsilon (𝐱)\right|}C_1f_{C^5\left(\overline{𝐈}\right)}\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\}.\end{array}$$

This completes our proof of Lemma 0.6.

Examining expressions (0.43) and (0.49), we see that we would like to apply the martingale problem to a smoothed version of $`B^\epsilon `$ which we call $`\mathrm{\Psi }^\epsilon `$. From Proposition 0.6, $`B^\epsilon `$ is defined on $``$ only, and its second derivatives are not guaranteed to be continuous on $`𝐕𝒞`$. On the other hand, we would like to have $`\mathrm{\Psi }^\epsilon C^2\left(^2\right)`$.

First, we define $`v_aC_c^{\mathrm{}}(;[0,1])`$ by $`v_a(h):=v\left(3h/a\right),`$ then

$$v_a(h)=\{\begin{array}{cc}1\hfill & \text{ if }|h|a/3,\hfill \\ 0\hfill & \text{ if }|h|2a/3.\hfill \end{array}$$

Using this function we cut off $`B^\epsilon `$ near the edges of $``$ so that

$$\mathrm{\Psi }^\epsilon (𝐱)=v_a\left(K(𝐱)\right)B^\epsilon (𝐱)$$

for every $`𝐱^2`$. Now, notice that

$$\begin{array}{c}\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)=v_a\left(K(𝐱)\right)\left(\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)\right)\hfill \\ \hfill +B^\epsilon (𝐱)\left(v_a^{}\left(K(𝐱)\right)\left(𝕄\left(K\right)\right)(𝐱)+\frac{1}{2}v_a^{\prime \prime }\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱)\right)\\ \hfill +v_a^{}\left(K(𝐱)\right)\left(𝕄dB^\epsilon ,dK\right)(𝐱)\end{array}$$

for all $`𝐱^2\left(𝐕𝒞\right).`$ Using Lemma 0.6, there exists a positive constant $`C`$ such that

$$\begin{array}{c}\left|\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)\right|\left|\left(\left(𝕄\left(^\epsilon B^\epsilon \right)\right)(𝐱)𝔾_f^\epsilon (𝐱)\right)\right|\hfill \\ \hfill +\left|B^\epsilon (𝐱)\right|\left|\beta ^{}\left(K(𝐱)\right)\left(𝕄\left(K\right)\right)(𝐱)+\frac{1}{2}\beta ^{\prime \prime }\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱)\right|\\ \hfill +\left|\beta ^{}\left(K(𝐱)\right)\right|\left|\left(𝕄dB^\epsilon ,dK\right)(𝐱)\right|\\ \hfill Cf_{C^5\left(\overline{𝐈}\right)}\left(\epsilon ^p+\mathrm{exp}\left\{\frac{|K(𝐱)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\}\right).\end{array}$$

Notice that $`\mathrm{\Psi }^\epsilon C^1\left(^2\right)C^2\left(^2\left(𝐕𝒞\right)\right).`$ Also,

$$\underset{\begin{array}{c}𝐲𝐱\\ 𝐲(𝐕𝒞)\end{array}}{lim}\left(_t^\epsilon \mathrm{\Psi }^\epsilon \right)(𝐲)$$

exists for all $`t0`$ and for all $`𝐱𝐕𝒞`$ since

$$\underset{\begin{array}{c}𝐲𝐱\\ 𝐲(𝐕𝒞)\end{array}}{lim}\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)(𝐲)$$

exists for all $`𝐱𝐕𝒞`$.

We will use an even function $`u_2C_c^{\mathrm{}}\left(^2\right)`$ with $`_^2u_2(𝐱)𝑑𝐱=1.`$ For $`\delta >0,`$ we set the mollifier

$$\mathrm{\Psi }_\delta ^\epsilon (𝐲):=\delta ^2_^2u_2\left(\frac{𝐲𝐳}{\delta }\right)\mathrm{\Psi }^\epsilon (𝐳)𝑑𝐳,𝐲^2,$$

and observe that $`\mathrm{\Psi }_\delta ^\epsilon C^{\mathrm{}}\left(^2\right)𝒟^\epsilon .`$ Now, if $`0t_1<t_2<\mathrm{}<t_ms<t,`$ and $`h_1,\mathrm{},h_mC_b(^2),`$ then

$$\begin{array}{cc}\hfill 𝔼^\epsilon & \left[\{\left(\mathrm{\Psi }_\delta ^\epsilon \right)\left(𝐗_{t\tau }\right)\left(\mathrm{\Psi }_\delta ^\epsilon \right)\left(𝐗_{s\tau }\right)\mathrm{}._{s\tau }^{t\tau }\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }_\delta ^\epsilon \right)\left(𝐗_u\right)du\}\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]=0.\hfill \end{array}$$

Using properties of mollifiers, $`\mathrm{\Psi }_\delta ^\epsilon \mathrm{\Psi }^\epsilon `$ a.e. as $`\delta 0`$, and

$$_t^\epsilon \mathrm{\Psi }_\delta ^\epsilon (𝐲)=\delta ^2_^2u_2\left(\frac{𝐲𝐳}{\delta }\right)_t^\epsilon \mathrm{\Psi }^\epsilon (𝐳)𝑑𝐳.$$

Changing the order of integration,

$`𝔼^\epsilon `$ $`\left[\{\mathrm{\Psi }^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }^\epsilon \left(𝐗_{s\tau }\right)\mathrm{}.{\displaystyle _{s\tau }^{t\tau }}\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }^\epsilon \right)\left(𝐗_u\right)du\}{\displaystyle \underset{k=1}{\overset{m}{}}}h_k\left(𝐗_{t_k}\right)\right]`$
$`=\underset{\delta 0}{lim}𝔼^\epsilon \left[\{\mathrm{\Psi }_\delta ^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }_\delta ^\epsilon \left(𝐗_{s\tau }\right)\mathrm{}.{\displaystyle _{s\tau }^{t\tau }}\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }_\delta ^\epsilon \right)\left(𝐗_u\right)du\}{\displaystyle \underset{k=1}{\overset{m}{}}}h_k\left(𝐗_{t_k}\right)\right]`$
$`=0.`$ (0.53)
Applying Lemma 0.1, there exist positive constants $`C_1`$ and $`C_2`$ such that

$$\begin{array}{c}\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left\{\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }^\epsilon \right)\left(𝐗_u\right)\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)\left(𝐗_u\right)\right\}𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ \hfill <C_1\epsilon (1+t)\mathrm{\Psi }^\epsilon _{C^4\left(\overline{𝐈}\right)}<C_2\epsilon ^{p+2}f_{C^5\left(\overline{𝐈}\right)}.\end{array}$$

Next, using the ideas described at the beginning of the proof of Proposition 0.3, and Eq. (0.53),

$$\begin{array}{cc}& \left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(f\left(𝐗_u\right)\left(𝔸_0f\right)\left([𝐗_u]\right)\right)𝖽_n\left(K\left(𝐗_u\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ & =\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\epsilon 𝔾_f^\epsilon \left(𝐗_u\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ & \epsilon \left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝔾_f^\epsilon \left(𝐗_u\right)\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)\left(𝐗_u\right)\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ & +\epsilon \left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(\left(𝕄\left(^\epsilon \mathrm{\Psi }^\epsilon \right)\right)\left(𝐗_u\right)\left(_{u/\epsilon ^2}^\epsilon \mathrm{\Psi }^\epsilon \right)\left(𝐗_u\right)\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ & +\epsilon \left|𝔼^\epsilon \left[\left(\mathrm{\Psi }^\epsilon \left(𝐗_{t\tau }\right)\mathrm{\Psi }^\epsilon \left(𝐗_{s\tau }\right)\right)\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|.\hfill \end{array}$$

Therefore, there exists a positive constant $`C`$ such that

$$\begin{array}{c}\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(f\left(𝐗_u\right)\left(𝔸_0f\right)\left([𝐗_u]\right)\right)𝖽_n\left(K\left(𝐗_u\right)\right)\omega \left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ \hfill C\epsilon f_{C^5\left(\overline{𝐈}\right)}\left(\epsilon ^p+\epsilon ^{p+2}+𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(\epsilon ^p+\mathrm{exp}\left\{\frac{|K\left(𝐗_u\right)|^{1/2p}}{C_2\sqrt{\epsilon }}\right\}\right)𝑑u\right]\right)\end{array}$$

whenever $`0t_1<t_2<\mathrm{}<t_ms<t,`$ and $`h_1,\mathrm{},h_mC_b(^2).`$ Finally, combining this inequality and inequality (0.36) with $`v(h)=\mathrm{exp}\left\{\frac{1}{C_2}\left|h\right|^\alpha \right\},\alpha =1/2p`$ and $`\delta =\epsilon ^p`$, we obtain (0.42). This completes the proof of Proposition 0.3.

## 4 The Martingale Problem

We want to prove that a family of probability measures converges to a unique solution $`^{}`$ of the martingale problem for $`(^{},\delta _{[𝐱]})`$, and to identify the limiting generator $`^{}`$ and its domain.

### 4.1 The limiting generator

Having the homeomorphism $`p`$ into $`^3`$, we can define the metric $`\rho `$ on $`𝚪`$ by

$$\rho ([𝐱],[𝐲])=p\left([𝐱]\right)p\left([𝐲]\right)_^3$$

for any $`[𝐱],[𝐲]𝚪`$. The constructed metric space $`(𝚪,\rho )`$ is Polish. Using Prohorov’s theorem, we can show that the family of probability measures $`^{\epsilon ,}𝒫\left(C([0,\mathrm{}),𝚪)\right)`$ is tight in the Prohorov topology. We choose to omit the proof, since it is analogous to the proof of tightness in \[S.1\]. By Prohorov’s theorem, tightness implies that $`\left\{^{\epsilon ,}\right\}`$ has a cluster point. We will show that any such cluster point satisfies a certain martingale problem. Our next step is to identify the generator of the limiting martingale problem.

By properties of $`K`$, $`K^1\left(K(𝐱)\right)=H^1\left(H(𝐱)\right)`$ for any $`𝐱\overline{𝐕}`$, and there exists a smooth extension of $`K(𝐱)=\left(H(𝐱)\right)^{1/n}`$ inside $`\overline{𝐕}`$.

Given a function $`F`$ and a set $`[A]𝚪`$, we denote the restriction of $`F`$ to $`[A]`$ as $`F_A`$. In particular, if $`FC(𝚪;),`$ then $`F\pi C(\overline{𝐈},)`$ and

* $`F_𝐕\pi (𝐱)=F_𝐕(𝐱)`$ for $`𝐱𝐕;`$
* $`F_{\overline{𝐔}}\pi (𝐱)=\left(F_{\overline{𝐔}}K^1\right)K`$ for $`𝐱\overline{𝐔};`$
* $`F_K:=F_{\overline{𝐔}}K^1`$ maps $`[0,K^{}]`$ into $`;`$
* $`F\pi (𝐱)=F_𝐕(𝐱)11_𝐕(𝐱)+F_K(K(𝐱))11_{\overline{𝐈}𝐕}(𝐱)`$ for $`𝐱\overline{𝐈}.`$

If $`FC^2(𝚪_𝐕𝚪_𝐔;)`$ then $`F\pi C^2(𝐈𝐕;)`$, and for every $`t`$ the operator $`_t(F\pi )`$ is well-defined on $`𝐈𝐕.`$ If $`𝕄\left((F\pi )\right)𝒟_𝔸,`$ then for $`[𝐱]𝚪_𝐕𝚪_𝐔,`$ we set

$$\left(𝔸^{}F\right)([𝐱])=\{\begin{array}{cc}\overline{b}\left(K(𝐱)\right)F_K^{}(K(𝐱))+\frac{1}{2}\overline{\sigma }^2\left(K(𝐱)\right)F_K^{\prime \prime }(K(𝐱))\hfill & \text{ if }[𝐱]𝚪_𝐔,\hfill \\ \left(𝕄\left(F_𝐕\right)\right)(𝐱)\hfill & \text{ if }[𝐱]𝚪_𝐕.\hfill \end{array}$$

where

$$\overline{b}:=𝔸_K\left(𝕄\left(\left(K\right)(\mathrm{\Phi }_\psi ,b)\right)\right)$$

and

$$\overline{\sigma }^2:=𝔸_K\left(𝕄dK,dK\right).$$

Also, for future reference, define the second-order differential operator $`𝕄^K`$ on $`C^2\left((0,K^{})\right)`$ by

$$\left(𝕄\left(^Kf\right)\right)(h)=\overline{b}(h)f^{}(h)+\frac{1}{2}\overline{\sigma }^2\left(h\right)f^{\prime \prime }(h).$$

For every $`𝐱𝐔\overline{𝐕}`$ and for every $`FC^2\left(𝚪_𝐕𝚪_𝐔\right)`$ such that $`𝕄\left(\left(F\pi \right)\right)𝒟_𝔸`$, we have $`\left(𝔸^{}F\right)([𝐱])=\left(𝕄\left(^KF_K\right)\right)\left(K(𝐱)\right).`$

We introduce two gluing operators. For $`F`$ with $`F_𝐕C^1\left(𝚪_𝐕\right),`$ we define an ’inner’ gluing operator by

$$\begin{array}{cc}\hfill \underset{¯}{G}F& :=\underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐕\end{array}}{lim}\left(𝔸_0\left(𝕄dF_𝐕,dK\right)\right)([𝐱])\hfill \\ & =\underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐕\end{array}}{lim}\left(_{𝐲[𝐱]}\frac{1}{K(𝐲)}𝑑l(𝐲)\right)^1_{𝐲[𝐱]}\frac{\left(𝕄dF_𝐕,dK\right)(𝐲)}{K(𝐲)}𝑑l(𝐲),\hfill \end{array}$$

if this limit exists. For $`F`$ with $`F_𝐔C^1\left(𝚪_𝐔\right),`$ we define an ’outer’ gluing operator

$$\begin{array}{cc}\hfill \overline{G}F& :=\underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐔\end{array}}{lim}\left(𝔸_0\left(𝕄dF_K,dK\right)\right)([𝐱])\hfill \\ & =\underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐔\end{array}}{lim}\left(_{𝐲[𝐱]}\frac{1}{K(𝐲)}𝑑l(𝐲)\right)^1_{𝐲[𝐱]}\frac{\left(𝕄dF_K,dK\right)(𝐲)}{K(𝐲)}𝑑l(𝐲),\hfill \end{array}$$

if this limit exists.

###### Definition 0.2.

Define the domain

$$\begin{array}{cc}\hfill 𝒟^{}:=& \{FC(𝚪):F|_{𝚪_𝐕𝚪_𝐔}C^2(𝚪_𝐕𝚪_𝐔),𝕄\left((F\pi )\right)𝒟_𝔸,.\hfill \\ & .\underset{¯}{G}F=\overline{G}F,\underset{[𝐲]𝚪_𝐈}{lim}(𝔸^{}F)([𝐲])=0\}.\hfill \end{array}$$

For any $`F𝒟^{},`$ we define

$$(^{}F)([𝐱]):=\underset{\begin{array}{c}[𝐲][𝐱]\\ [𝐲]𝚪_𝐔𝚪_𝐕\end{array}}{lim}(𝔸^{}F)([𝐲]),[𝐱]𝚪.$$

### 4.2 Approximate test functions

If $`F𝒟^{},`$ then $`FC(𝚪),`$ and for all $`𝐱\overline{𝐈},`$

$$\begin{array}{cc}\hfill F\pi (𝐱)& =F_𝐕(𝐱)11_𝐕(𝐱)+F_K(K(𝐱))11_{\overline{𝐈}𝐕}(𝐱).\hfill \end{array}$$

Unfortunately, given $`F𝒟^{},`$ we are not guaranteed that $`F\pi 𝒟^\epsilon .`$ According to the definition of $`𝒟^{},`$ $`F|_{𝚪_𝐕𝚪_𝐔}C^2\left(𝚪_𝐕𝚪_𝐔\right),`$ that is, function $`F`$ has enough smoothness on both $`𝚪_𝐕`$ and $`𝚪_𝐔.`$ But this does not immediately guarantee enough smoothness at $`𝚪_𝐕.`$

###### Proposition 0.4.

Let $`F𝒟^{},`$ then $`F_𝐕^2(𝐕)`$ and $`F_KC^2\left([0,K^{}]\right).`$

###### Proof.

To study the regularity properties of $`F`$ near $`𝚪_𝐕,`$ we will use the continuity of $`^{}F`$ on $`𝚪.`$

###### Lemma 0.7.

Let $`gC\left(\overline{𝐕}\right)`$ and $`r.`$ There exists a unique solution $`u_{g,r}^2\left(𝐕\right)C\left(\overline{𝐕}\right)`$ of the PDE

$$\begin{array}{c}\hfill 𝕄\left(u_{g,r}\right)=g\text{in}𝐕,u_{g,r}=r\text{on}𝐕.\end{array}$$
(0.54)
If $`gC^k\left(\overline{𝐕}\right)`$ and $`k0,`$ then $`u_{g,r}^{k+2}\left(𝐕\right)C^k\left(\overline{𝐕}\right)`$ and there exists a constant $`C_k`$ such that

$$\begin{array}{cc}\hfill u_{g,r}_{^{k+2}\left(𝐕\right)}& C_k\left\{g_{C^k\left(\overline{𝐕}\right)}+|r|\right\}\hfill \\ \hfill u_{g,r}_{C^k\left(\overline{𝐕}\right)}& C_k\left\{g_{C^k\left(\overline{𝐕}\right)}+|r|\right\}.\hfill \end{array}$$
(0.55)
###### Proof.

Let $`v_0^1\left(𝐕\right)`$ be a weak solution of the PDE

$$\begin{array}{cc}\hfill 𝕄\left(v\right)& =0\text{in}𝐕,\hfill \\ \hfill v& =0\text{on}𝐕.\hfill \end{array}$$

We know that $`𝐕C^{\mathrm{}}`$ and all the coefficients of $`𝕄`$ are smooth. Then, by the infinite differentiability up to the boundary \[E., Theorem 6, pg. 326\], $`vC^{\mathrm{}}\left(\overline{𝐕}\right).`$ By the weak maximum principle \[E., Theorem 1, pg. 327\], $`v0`$ on $`\overline{𝐕}.`$ The Fredholm alternative implies that a unique weak solution $`u_0^1\left(𝐕\right)`$ of the corresponding inhomogeneous PDE (0.54) exists. By boundary $`^2`$-regularity \[E., Theorem 4, pg. 317\], $`u^2\left(𝐕\right)`$. By standard Sobolev theory, $`uC\left(\overline{𝐕}\right).`$

Now, we define $`u_{g,r}:=u+r.`$ Notice that this $`u_{g,r}`$ satisfies (0.54). Let $`u_{g,r}^{}`$ be another solution of (0.54), and take $`u^{}=u_{g,r}u_{g,r}^{}`$ on $`\overline{𝐕}.`$ Then $`𝕄\left(u^{}\right)=0`$ on $`𝐕,`$ and by the infinite differentiability in the interior \[E., Theorem 3, pg. 316\], $`u^{}C^{\mathrm{}}\left(𝐕\right).`$ On the other hand, $`u_{g,r}^{}C\left(\overline{𝐕}\right)`$ implies that $`u^{}C\left(\overline{𝐕}\right)`$, and by the maximum principle, $`u^{}0`$ on $`\overline{𝐕}.`$

If $`gC^k\left(\overline{𝐕}\right),`$ then $`g^k\left(𝐕\right),`$ and by higher boundary regularity \[E., Theorem 5, pg. 323\], $`u^{k+2}\left(𝐕\right),`$ and there exists a constant $`C_k`$ such that inequalities (0.55) hold.

###### Lemma 0.8.

Let $`gC^1\left([0,K^{}]\right)`$ and $`r_1,r_2.`$

There exists a unique solution $`u_{g,r_1,r_2}C^2\left([0,K^{}]\right)`$ of the PDE

$$\begin{array}{cc}\hfill 𝕄\left(^Ku_{g,r_1,r_2}\right)& =g\text{ on }(0,K^{}),u_{g,r_1,r_2}(0)=r_1,u_{g,r_1,r_2}\left(K^{}\right)=r_2.\hfill \end{array}$$
(0.56)
If $`gC^k\left([0,K^{}]\right)`$ and $`k0,`$ then $`u_{g,r_1,r_2}C^{k+1}\left([0,K^{}]\right)`$ and there exists a constant $`C_k`$ such that

$$\begin{array}{cc}\hfill u_{g,r_1,r_2}_{C^{k+1}\left([0,K^{}]\right)}& C_k\left\{g_{C^k\left([0,K^{}]\right)}+\left|r_1\right|+\left|r_2\right|\right\}.\hfill \end{array}$$
(0.57)
###### Proof.

Let

$$I\left(h\right)=\mathrm{exp}\left\{2_0^h\frac{\overline{b}(s)}{\overline{\sigma }^2(s)}𝑑s\right\},h[0,K^{}].$$

Notice that

$$\begin{array}{c}u_{g,r_1,r_2}(h)=\frac{1}{_0^K^{}\frac{ds}{I(s)}}\left(r_1_h^K^{}\frac{ds}{I(s)}+r_2_0^h\frac{ds}{I(s)}\right)\hfill \\ \hfill +2_0^h\frac{1}{I(q)}\left(_0^q\frac{g(s)}{\overline{\sigma }^2(s)}I(s)𝑑s\right)𝑑q\\ \hfill 2\frac{_0^h\frac{ds}{I(s)}}{_0^K^{}\frac{ds}{I(s)}}_0^K^{}\frac{1}{I(q)}\left(_0^q\frac{g(s)}{\overline{\sigma }^2(s)}I(s)𝑑s\right)𝑑q,\end{array}$$

solves the PDE (0.56) uniquely.

If $`gC^k\left([0,K^{}]\right),`$ then $`u_{g,r_1,r_2}C^{k+1}\left([0,K^{}]\right)`$ and there exists a constant $`C_k`$ such that (0.57) holds.

Now, apply Lemma 0.7 with $`g=𝕄\left(F_𝐕\right)`$ and $`r=F\left(𝐕\right)`$ to see that $`u_{g,r}=F_𝐕^2\left(𝐕\right).`$ Lemma 0.8 with $`g=𝕄\left(^KF_K\right)`$, $`r_1=F_K(0),`$ and $`r_2=F_K\left(K^{}\right)`$ implies that $`u_{g,r_1,r_2}=F_KC^2\left([0,K^{}]\right).`$ Therefore, the proof of Proposition 0.4 is complete.

Although $`F\pi `$ itself is not guaranteed to belong to $`𝒟^\epsilon ,`$ it can be approximated by a collection of functions $`\left\{F^\epsilon ,\epsilon >0\right\}`$ from $`C^2\left(^2\right)𝒟^\epsilon ,`$ so that

$$\underset{\epsilon 0}{lim}\underset{𝐱\overline{𝐈}}{sup}\left|F^\epsilon (𝐱)F\pi (𝐱)\right|=0.$$

We will define $`F^\epsilon `$ similarly to the approximate test functions defined in \[S.1\]. The special construction of these functions is sketched below and will be used later.

First, we define the cutoff function $`v_+C^{\mathrm{}}()`$ by

$$v_+(h):=\{\begin{array}{cc}0\hfill & \text{ if }h1,\hfill \\ 1\hfill & \text{ if }h2.\hfill \end{array}$$

Next, we build suitable extensions of the functions $`F_𝐕`$ and $`F_K`$.

###### Lemma 0.9.

Let $`F𝒟^{}.`$ Suppose that $`𝐕Z_1^2.`$ There exists a family of functions $`\left\{F_𝐕^\epsilon ,\epsilon >0\right\}`$, such that every $`F_𝐕^\epsilon C_c^8\left(Z_1\right),`$ and

$$\begin{array}{cc}& F_𝐕^\epsilon (𝐱)=F(𝚪_𝐕)\text{ for all }𝐱𝐕,\epsilon >0,\hfill \\ & \underset{\epsilon 0}{lim}F_𝐕^\epsilon F_𝐕_{^2(𝐕)}=0,\hfill \\ & \underset{\epsilon 0}{lim}𝕄\left(F_𝐕^\epsilon \right)^{}F_𝐕_{C(\overline{𝐕})}=0,\hfill \\ & \overline{lim}_{\epsilon 0}\epsilon ^{kq}F_𝐕^\epsilon _{C^k\left(Z_1\right)}<\mathrm{},k8.\hfill \end{array}$$

###### Lemma 0.10.

Let $`F𝒟^{}`$. Suppose that $`[0,K^{}]Z_2.`$ There exists a sequence of functions $`\left\{F_K^\epsilon ,\epsilon >0\right\}`$ such that every $`F_K^\epsilon C_c^8\left(Z_2\right)`$ and

$$\begin{array}{cc}& F_K^\epsilon (0)=F(𝚪_𝐕)\text{ for all }\epsilon >0,\hfill \\ & \underset{\epsilon 0}{lim}F_K^\epsilon F_K_{C^2\left([0,K^{}]\right)}=0,\hfill \\ & \underset{\epsilon 0}{lim}𝕄\left(^KF_K^\epsilon \right)\left(^{}F_K\right)^K_{C\left([0,K^{}]\right)}=0,\hfill \\ & \overline{lim}_{\epsilon 0}\epsilon ^{kq}F_K^\epsilon _{C^k\left(Z_2\right)}<\mathrm{},k8.\hfill \end{array}$$

Lemma 0.9 and Lemma 0.10 can be proved in the same fashion as Lemma 4.5 and Lemma 4.6 from \[S.1\], but instead of the properties of the generator $``$ from \[S.1\], we have to pay attention to the continuity properties of the time average of $`_{t/\epsilon ^2}^\epsilon `$.

Finally, given any $`𝐱\overline{𝐈},\epsilon >0,`$ we let

$$F^\epsilon (𝐱):=F_𝐕^\epsilon (𝐱)\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)+F_K^\epsilon \left(K(𝐱)\right)v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right),$$
(0.58)
where $`F_𝐕^\epsilon `$ is constructed in Lemma 0.9, and $`F_K^\epsilon `$ is constructed in Lemma 0.10.

### 4.3 Gluing

The hypothesis that $`\underset{¯}{G}F=\overline{G}F`$ will be called the ‘gluing requirement’. It can be rewritten in the form

$$\begin{array}{cc}& \underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐕\end{array}}{lim}\left(𝔸_0\left(𝕄dF_𝐕,dK\right)\right)([𝐱])=\underset{\begin{array}{c}[𝐱]𝚪_𝐕\\ [𝐱]𝚪_𝐔\end{array}}{lim}\left(𝔸_0\left(𝕄dF_K,dK\right)\right)([𝐱]).\hfill \end{array}$$

Notice that if $`[𝐱]𝚪_𝐕,`$ then

$$\begin{array}{c}\hfill \left(𝔸_0\left(𝕄dF_𝐕,dK\right)\right)([𝐱])=\left(𝔸_K\left(𝕄dF_𝐕,dK\right)\right)\left(K(𝐱)\right).\end{array}$$

If $`[𝐱]𝚪_𝐔,`$ then

$$\begin{array}{c}\left(𝔸_0\left(𝕄dF_K,dK\right)\right)([𝐱])=F_K^{}(K(x))\left(𝔸_0\left(𝕄dK,dK\right)\right)([𝐱])\hfill \\ \hfill =\overline{\sigma }^2(K(𝐱))F_K^{}(K(𝐱)).\end{array}$$

So, formally, the gluing requirement demands that

$$\begin{array}{c}\hfill \underset{h0}{lim}\left(𝔸_K\left(𝕄dF_𝐕,dK\right)\right)(h)=\underset{h0}{lim}\overline{\sigma }^2(h)F_K^{}(h).\end{array}$$

###### Proposition 0.5.

Let $`FC(𝚪)`$ be such that $`F|_{𝚪_𝐕𝚪_𝐔}C^2\left(𝚪_𝐕𝚪_𝐔\right)`$ and $`𝕄\left((F\pi )\right)𝒟_𝔸`$, then both $`\underset{¯}{G}F`$ and $`\overline{G}F`$ exist.

###### Proof.

From Lemma 0.4, $`lim_{h0}\left(F_K\right)^{}(h)`$ exists; we denote this limit by $`\left(F_K\right)^{}(0).`$ Notice that from our assumptions on function $`K`$ the limit $`lim_{h0}\overline{\sigma }^2(h)=\overline{\sigma }^2(0)`$ exists and $`\overline{\sigma }^2(0)>0`$. Then the quantity $`\overline{G}F`$ is well-defined and

$$\overline{G}F=\overline{\sigma }^2(0)\left(F_K\right)^{}(0).$$

For every $`h(a,a),`$ we introduce a bounded linear operator $`𝐓_h:^1(𝐕)L^2\left(K^1(h)\right)`$ such that if $`f^1(𝐕)C(\overline{𝐕})`$ then $`𝐓_hf=f|_𝐕`$ and

$$𝐓_hf_{L^2(𝐕)}Cf_{^1(𝐕)}.$$
(0.59)
The Trace theorem \[E., Theorem 1, pg. 258\] guarantees the existence of such operators $`𝐓_h`$. For any $`f^1\left(𝐕\right)`$ and for $`h(a,0]`$ we define

$$\left(𝔸^{\mathrm{𝚃𝚛}}f\right)(h)=\left(_{𝐲K^1(h)}\frac{1}{K(𝐲)}𝑑l(𝐲)\right)^1_{𝐲K^1(h)}\frac{\left(𝐓_hf\right)(y)}{K(𝐲)}𝑑l(𝐲).$$

If $`fC\left(\overline{𝐕}\right),`$ then $`𝔸^{\mathrm{𝚃𝚛}}f=A_Kf`$ on $`(a,0]`$. By Lemma 0.4, $`F_𝐕^2\left(𝐕\right)`$, which implies that $`\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(0)`$ is well-defined and that

$$\underset{¯}{G}F=\underset{h0}{lim}\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(h),$$
(0.60)
if this limit exists. We consider the sequence of functions $`F_𝐕^\epsilon `$ from Lemma 0.9. By property (0.59) of the trace operator, there exists a constant $`C>0`$ such that

$$\left|\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(h)\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)(h)\right|CF_𝐕F_𝐕^\epsilon _{^2(𝐕)}$$

for all $`h(a,0].`$

The following result is borrowed from \[S.1\] (Lemma 9.6).

###### Lemma 0.11.

There exists a constant $`C>0`$ such that if $`f^2(^2),`$ then

$$\left|\left(𝔸^{\mathrm{𝚃𝚛}}f\right)(h^{})\left(𝔸^{\mathrm{𝚃𝚛}}f\right)(h^{\prime \prime })\right|Cf_{^1(^2)}\sqrt{\left|h^{}h^{\prime \prime }\right|}$$
(0.61)
for all $`h^{},h^{\prime \prime }(a,a).`$

From (0.61), there exists a constant $`C>0`$ such that

$$\begin{array}{cc}& \left|\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(h)\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(0)\right|\hfill \\ & \left|\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(h)\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)(h)\right|\hfill \\ & +\left|\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)(h)\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)(0)\right|\hfill \\ & +\left|\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)(0)\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(0)\right|\hfill \\ & 2CF_𝐕F_𝐕^\epsilon _{^2(𝐕)}+C\sqrt{|h|}F_𝐕^\epsilon _{^2(𝐕)}.\hfill \end{array}$$

Therefore the limit in (0.60) exists and $`\underset{¯}{G}F=\left(𝔸^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)(0)`$ is well-defined.

### 4.4 The limiting martingale problem

To prove that any cluster point of the $`^{\epsilon ,}`$s satisfies the martingale problem for $`(^{},\delta _{[𝐱]})`$, we will need to connect elements of the limiting domain $`𝒟^{}`$ back to the functions from $`𝒟^\epsilon `$. The propositions and lemmas below allow us to establish this connections.

Recall $`F^\epsilon ,`$ constructed above to satisfy (0.58).

###### Proposition 0.6.

Given $`𝐱\overline{𝐈},`$ for every $`t0`$ and for every $`\epsilon >0`$

$$\begin{array}{c}\hfill \left(_{t/\epsilon ^2}^\epsilon F^\epsilon \right)(𝐱)=L^\epsilon (𝐱,\frac{t}{\epsilon ^2})+\underset{k=0}{\overset{3}{}}G_i^\epsilon (𝐱,\frac{t}{\epsilon ^2})+R^\epsilon (𝐱,\frac{t}{\epsilon ^2}),\end{array}$$
(0.62)
where

$$\begin{array}{cc}\hfill L^\epsilon (𝐱,t)& =\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)\left(_tF_𝐕^\epsilon \right)(𝐱)+v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)_tF_K^\epsilon \left(K(𝐱)\right)\hfill \\ & +\frac{1}{\epsilon }v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \right)^{}(K(𝐱))(K(𝐱),b(𝐱,t)),\hfill \\ \hfill G_0^\epsilon (𝐱,t)& =\frac{1}{\epsilon ^{p+1}}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)(K(𝐱),b(𝐱,t))\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right),\hfill \\ \hfill G_1^\epsilon (𝐱,t)& =\frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(dF_𝐕^\epsilon ,dK_t\left(𝐱\right)d\left(F_K^\epsilon K\right),dK_t(𝐱)\right),\hfill \\ \hfill G_2^\epsilon (𝐱,t)& =\frac{1}{2\epsilon ^{2p}}v_+^{\prime \prime }\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)dK,dK_t(𝐱),\hfill \\ \hfill G_3^\epsilon (𝐱,t)& =\frac{1}{\epsilon }\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)(F_𝐕^\epsilon (𝐱),b(𝐱,t)),\hfill \\ \hfill R^\epsilon (𝐱,t)& =\frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)\left(_tK\right)(𝐱).\hfill \end{array}$$

###### Proof.

Below, for any appropriate $`f`$ and $`g`$ involved, we understand $`_{t/\epsilon ^2}^\epsilon f(g(𝐱))`$ and $`df(g(𝐱))`$ as $`\left(_{t/\epsilon ^2}^\epsilon (fg)\right)(𝐱)`$ and $`d(fg)(𝐱)`$ correspondingly. For example,

$$\begin{array}{cc}\hfill _{t/\epsilon ^2}^\epsilon v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)& =\frac{1}{\epsilon }(v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right),b(𝐱,\frac{t}{\epsilon ^2}))+_{t/\epsilon ^2}v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\hfill \\ & =\frac{1}{\epsilon ^{p+1}}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)(K(𝐱),b(𝐱,\frac{t}{\epsilon ^2}))\hfill \\ & +\frac{1}{2}\underset{i,j=1}{\overset{2}{}}\gamma _{ij}(𝐱,\frac{t}{\epsilon ^2})\frac{^2v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)}{x_ix_j}(𝐱).\hfill \end{array}$$

This implies that

$`_{t/\epsilon ^2}^\epsilon v_+\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)`$ $`={\displaystyle \frac{1}{\epsilon ^{p+1}}}v_+^{}\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)(K(𝐱),b(𝐱,{\displaystyle \frac{t}{\epsilon ^2}}))`$
$`+{\displaystyle \frac{1}{\epsilon ^p}}v_+^{}\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)\left(_{t/\epsilon ^2}K\right)(𝐱)`$
$`+{\displaystyle \frac{1}{2\epsilon ^{2p}}}v_+^{\prime \prime }\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)dK,dK_{t/\epsilon ^2}(𝐱)`$ (0.63)
and

$$dv_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)=\frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)dK(𝐱).$$
(0.64)
We know that $`F^\epsilon C^2\left(^2\right)𝒟^\epsilon .`$ Applying the generator $`_{t/\epsilon ^2}^\epsilon `$ to the function $`F^\epsilon `$ defined in (0.58), we obtain

$$\begin{array}{cc}\hfill \left(_{t/\epsilon ^2}^\epsilon F^\epsilon \right)(𝐱)& =\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)\left(\frac{1}{\epsilon }(F_𝐕^\epsilon (𝐱),b(𝐱,\frac{t}{\epsilon ^2}))+\left(_{t/\epsilon ^2}F_𝐕^\epsilon \right)(𝐱)\right)\hfill \\ & +v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)_{t/\epsilon ^2}F_K^\epsilon \left(K(𝐱)\right)\hfill \\ & +\frac{1}{\epsilon }v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \right)^{}(K(𝐱))(K(𝐱),b(𝐱,\frac{t}{\epsilon ^2}))\hfill \\ & +\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)_{t/\epsilon ^2}v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\hfill \\ & dF_𝐕^\epsilon \left(𝐱\right),dv_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)_{t/\epsilon ^2}\hfill \\ & +dF_K^\epsilon \left(K(𝐱)\right),dv_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)_{t/\epsilon ^2}.\hfill \end{array}$$

We unravel this expression further, using (0.63) and (0.64), to see that

$$\begin{array}{cc}\hfill \left(_{t/\epsilon ^2}^\epsilon F^\epsilon \right)& (𝐱)=\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)\left(\frac{1}{\epsilon }(F_𝐕^\epsilon (𝐱),b(𝐱,\frac{t}{\epsilon ^2}))+\left(_{t/\epsilon ^2}F_𝐕^\epsilon \right)(𝐱)\right)\hfill \\ & +v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)_{t/\epsilon ^2}F_K^\epsilon \left(K(𝐱)\right)\hfill \\ & +\frac{1}{\epsilon }v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \right)^{}(K(𝐱))(K(𝐱),b(𝐱,\frac{t}{\epsilon ^2}))\hfill \\ & +\frac{1}{\epsilon ^{p+1}}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)(K(𝐱),b(𝐱,\frac{t}{\epsilon ^2}))\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)\hfill \\ & +\frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)\left(_{t/\epsilon ^2}K\right)(𝐱)\hfill \\ & +\frac{1}{2\epsilon ^{2p}}v_+^{\prime \prime }\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)dK,dK_{t/\epsilon ^2}(𝐱)\hfill \\ & \frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(dF_𝐕^\epsilon ,dK_{t/\epsilon ^2}\left(𝐱\right)d\left(F_K^\epsilon K\right),dK_{t/\epsilon ^2}(𝐱)\right).\hfill \end{array}$$

This immediately implies (0.62).

###### Proposition 0.7.

Fix $`F𝒟^{}`$ and $`t>0.`$ Then

$$\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\left|_0^{t\tau }\left(\left(𝕄L^\epsilon \right)\left(𝐗_s\right)\left(^{}F\right)\left(\left[𝐗_s\right]\right)\right)𝑑s\right|\right]=0.$$
(0.65)
###### Proof.

Consider

$$\begin{array}{cc}\hfill \left(𝕄L^\epsilon \right)\left(𝐱\right)& =\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)\left(𝕄\left(F_𝐕^\epsilon \right)\right)(𝐱)\hfill \\ & +v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(𝕄\left(\left(F_K^\epsilon K\right)\right)\right)(𝐱)\hfill \\ & =\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)\left(𝕄\left(F_𝐕^\epsilon \right)\right)(𝐱)\hfill \\ & +v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right)\left(𝕄\left(K\right)\right)(𝐱)\hfill \\ & +\frac{1}{2}v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \right)^{\prime \prime }\left(K(𝐱)\right)\left(𝕄dK,dK\right)(𝐱).\hfill \end{array}$$

Recall that $`v,v_+C^{\mathrm{}}(;[0,1])`$ were defined to satisfy

$$v(h)=\{\begin{array}{cc}0\hfill & \text{ if }|h|1,\hfill \\ 1\hfill & \text{ if }|h|2\hfill \end{array}\text{ and }v_+(h)=\{\begin{array}{cc}0\hfill & \text{ if }h1,\hfill \\ 1\hfill & \text{ if }h2.\hfill \end{array}$$

Define $`v_{}C^{\mathrm{}}(;[0,1])`$ by $`v_{}(h):=v_+(h),`$ then

$$v_{}(h)=\{\begin{array}{cc}1\hfill & \text{ if }h2,\hfill \\ 0\hfill & \text{ if }|h|1.\hfill \end{array}$$

Without loss of generality assume that these three functions $`v,v_{}`$ and $`v_+`$ form a smooth partition of unity. Notice that

$$\mathrm{supp}\left(v_{}\right)(\mathrm{},1),\mathrm{supp}\left(v\right)(2,2),\mathrm{supp}\left(v_+\right)(1,\mathrm{}).$$

Fix $`r`$ so that $`\epsilon ^{2q}\epsilon ^r\epsilon ^p`$ as $`\epsilon 0`$. Then we have $`\mathrm{supp}\left(v_{}\left(\frac{K()}{\epsilon ^r}\right)\right)𝐕`$ and $`\mathrm{supp}\left(v_+\left(\frac{K()}{\epsilon ^r}\right)\right)𝐔.`$ Notice that

$$\begin{array}{cc}& v_{}\left(\frac{K(𝐱)}{\epsilon ^r}\right)\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)=v_{}\left(\frac{K(𝐱)}{\epsilon ^r}\right),\hfill \end{array}$$

which implies that

$$\begin{array}{c}\hfill \left(𝕄L^\epsilon \right)\left(𝐱\right)v_{}\left(\frac{K(𝐱)}{\epsilon ^r}\right)=\left(𝕄\left(F_𝐕^\epsilon \right)\right)(𝐱)v_{}\left(\frac{K(𝐱)}{\epsilon ^r}\right).\end{array}$$
(0.66)
Now, using Lemma 0.9 and expression (0.66)

$$\begin{array}{c}\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\left|_0^{t\tau }\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(^{}F\right)\left(𝐘_u\right)\right)v_{}\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]\hfill \\ \hfill \overline{\underset{\epsilon 0}{lim}}𝕄\left(F_𝐕^\epsilon \right)^{}F_{C\left(\overline{𝐕}\right)}=0.\end{array}$$
(0.67)
Next, by Lemma 0.9, Lemma 0.10, and using the fact that $`^{}F`$ is bounded, we see that

$$\left|\left(\left(𝕄L^\epsilon \right)\left(𝐱\right)\left(^{}F\right)\left([𝐱]\right)\right)v\left(\frac{K(𝐱)}{\epsilon ^r}\right)\right|<C\epsilon ^{2q}\chi _{[2\epsilon ^r,2\epsilon ^r]}\left(K(𝐱)\right).$$

By Lemma 0.5, there exists a positive constant $`C`$ such that

$$\begin{array}{c}\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\left|_0^{t\tau }\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(^{}F\right)\left(𝐘_u\right)\right)v\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]\hfill \\ \hfill C\epsilon ^{r2q}\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\frac{1}{\epsilon ^r}_0^{t\tau }\chi _{[2\epsilon ^r,2\epsilon ^r]}\left(K\left(𝐗_u\right)\right)𝑑u\right]=0.\end{array}$$
(0.68)
Notice that

$`𝔼^\epsilon `$ $`\left[\left|{\displaystyle _0^{t\tau }}\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(^{}F\right)\left(𝐘_u\right)\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right]`$
$`𝔼^\epsilon \left[\left|{\displaystyle _0^{t\tau }}\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(A_0\left(𝕄L^\epsilon \right)\right)\left(𝐘_u\right)\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right]`$
$`+𝔼^\epsilon \left[\left|{\displaystyle _0^{t\tau }}\left(\left(A_0\left(𝕄L^\epsilon \right)\right)\left(𝐘_u\right)L^\epsilon (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right]`$
$`+𝔼^\epsilon \left[\left|{\displaystyle _0^{t\tau }}\left(L^\epsilon (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\left(^{}F\right)\left(𝐘_u\right)\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right],`$ (0.69)
where

$`(.`$ $`.L^\epsilon (𝐱,{\displaystyle \frac{t}{\epsilon ^2}})\left(^{}F\right)\left([𝐱]\right)\left)v_+\right({\displaystyle \frac{K\left(𝐱\right)}{\epsilon ^r}})`$
$`=\left(_{t/\epsilon ^2}F_K^\epsilon \left(K(𝐱)\right)+{\displaystyle \frac{1}{\epsilon }}\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right)\psi (𝐱,{\displaystyle \frac{t}{\epsilon ^2}})\right)v_+\left({\displaystyle \frac{K\left(𝐱\right)}{\epsilon ^r}}\right)`$
$`𝔸_0\left(𝕄\left((K)(\mathrm{\Phi }_\psi ,b)\right)\right)([𝐱])F_K^{}\left(K(𝐱)\right)v_+\left({\displaystyle \frac{K\left(𝐱\right)}{\epsilon ^r}}\right)`$
$`{\displaystyle \frac{1}{2}}𝔸_0\left(𝕄\left(dK,dK\right)\right)([𝐱])F_K^{\prime \prime }\left(K(𝐱)\right)v_+\left({\displaystyle \frac{K\left(𝐱\right)}{\epsilon ^r}}\right)`$
$`=v_+\left({\displaystyle \frac{K\left(𝐱\right)}{\epsilon ^r}}\right){\displaystyle \underset{i=1}{\overset{5}{}}}K_i^\epsilon (𝐱,{\displaystyle \frac{t}{\epsilon ^2}})`$ (0.70)
and

$$\begin{array}{cc}\hfill K_1^\epsilon (𝐱,\frac{t}{\epsilon ^2})& =\left(_{t/\epsilon ^2}F_K^\epsilon \left(K(𝐱)\right)\left(𝔸_0\left(𝕄\left(\left(F_K^\epsilon K\right)\right)\right)\right)\left([𝐱]\right)\right),\hfill \\ \hfill K_2^\epsilon (𝐱,\frac{t}{\epsilon ^2})& =\left(\left(𝔸_0\left(𝕄\left(\left(F_K^\epsilon K\right)\right)\right)\right)\left([𝐱]\right)\left(𝔸_0\left(𝕄\left(\left(F_KK\right)\right)\right)\right)\left([𝐱]\right)\right),\hfill \\ \hfill K_3^\epsilon (𝐱,\frac{t}{\epsilon ^2})& =\left(F_K^{}\left(K(𝐱)\right)\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right)\right)𝔸_0\left(𝕄(\mathrm{\Phi }_\psi ,b)\right)([𝐱]),\hfill \\ \hfill K_4^\epsilon (𝐱,\frac{t}{\epsilon ^2})& =\left(𝔸_0\left(𝕄(\mathrm{\Phi }_\psi ,b)\right)([𝐱])(\mathrm{\Phi }_\psi ,b)(𝐱,\frac{t}{\epsilon ^2})\right)\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right),\hfill \\ \hfill K_5^\epsilon (𝐱,\frac{t}{\epsilon ^2})& =\left(\frac{1}{\epsilon }\psi (𝐱,\frac{t}{\epsilon ^2})+(\mathrm{\Phi }_\psi ,b)(𝐱,\frac{t}{\epsilon ^2})\right)\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right).\hfill \end{array}$$

By Lemma 0.3, there exists a constant $`C_c>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }K_1^\epsilon (𝐗_u,\frac{t}{\epsilon ^2})v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]\hfill \\ \hfill C_c\epsilon ^{1r(n+1)}(1+t)F_K^\epsilon _{C^5\left([0,K^{}]\right)}.\end{array}$$
(0.71)
By Lemma 0.10,

$$\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\left|_0^{t\tau }K_i^\epsilon (𝐗_u,\frac{t}{\epsilon ^2})v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]=0,i=2,3.$$
(0.72)
By Lemma 0.3 and Lemma 0.10, there exists a constant $`C>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }K_4^\epsilon (𝐗_u,\frac{t}{\epsilon ^2})v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]\hfill \\ \hfill <C\epsilon ^{1r(n+1)}(1+t)F_K^\epsilon _{C^1\left([0,K^{}]\right)}.\end{array}$$
(0.73)
By Lemma 0.4, there exists a constant $`C_b>0`$ such that

$$\begin{array}{c}𝔼^\epsilon \left[\left|_0^{t\tau }K_5^\epsilon (𝐗_u,\frac{t}{\epsilon ^2})v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]\hfill \\ \hfill <C_b\epsilon ^{12r}(1+t)F_K^\epsilon _{C^3\left([0,K^{}]\right)}.\end{array}$$
(0.74)
Combining equality (0.70) with inequalities (0.71), (0.72), (0.73), and (0.74), we can see that

$$r<\frac{14q}{n+1}$$

guarantees that

$$\overline{\underset{\epsilon 0}{lim}}𝔼^\epsilon \left[\left|_0^{t\tau }\left(L^\epsilon (𝐗_u,\frac{u}{\epsilon ^2})\left(^{}F\right)\left(\left[𝐗_u\right]\right)\right)v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]=0.$$
(0.75)
By Lemma 0.2, Lemma 0.3, and Lemma 0.10, there exists a positive constant $`C`$ such that

$`𝔼^\epsilon `$ $`\left[\left|{\displaystyle _0^{t\tau }}\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(A_0\left(𝕄L^\epsilon \right)\right)\left(\left[𝐗_u\right]\right)\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right]`$
$`+𝔼^\epsilon \left[\left|{\displaystyle _0^{t\tau }}\left(\left(A_0\left(𝕄L^\epsilon \right)\right)\left(\left[𝐗_u\right]\right)L^\epsilon (𝐗_u,{\displaystyle \frac{u}{\epsilon ^2}})\right)v_+\left({\displaystyle \frac{K\left(𝐗_u\right)}{\epsilon ^r}}\right)𝑑u\right|\right]`$
$`<C\epsilon ^{1r(n+1)5q}(1+t)`$ (0.76)
Therefore, combining (0.69), (0.75), and (0.76), we conclude that

$$\begin{array}{cc}\hfill \overline{\underset{\epsilon 0}{lim}}& 𝔼^\epsilon \left[\left|_0^{t\tau }\left(\left(𝕄L^\epsilon \right)\left(𝐗_u\right)\left(^{}F\right)\left(\left[𝐗_u\right]\right)\right)v_+\left(\frac{K\left(𝐗_u\right)}{\epsilon ^r}\right)𝑑u\right|\right]=0.\hfill \end{array}$$
(0.77)
Finally, combine (0.67), (0.68), and (0.77) to obtain (0.65), completing the proof of Proposition 0.7.

###### Remark 0.6.

Notice that we require

$$2q<r<\mathrm{min}\{p,\frac{15q}{n+1}\}.$$

Therefore, we need to make sure that $`q<\mathrm{min}\{\frac{p}{2},\frac{1}{2n+7}\}`$. Recall that $`p=\frac{1}{n+1},`$ which implies that we need $`q<\frac{1}{2n+7}.`$

###### Proposition 0.8.

Fix $`0t_1<t_2<\mathrm{}<t_ms<t`$ and $`h_1,\mathrm{},h_mC_b\left(^2\right).`$ If $`F𝒟^{},`$ then

$$\underset{\epsilon 0}{lim}𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝕄G_i^\epsilon \right)\left(𝐗_s\right)𝑑s\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]=0,i=0,1,2.$$
(0.78)
###### Proof.

Notice that

$`\left(𝕄G_0^\epsilon \right)(𝐱)`$ $`={\displaystyle \frac{1}{\epsilon ^{p+1}}}v_+^{}`$
$`\times \left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱))\left(𝕄(K,b)\right)(𝐱)=0,`$
$`\left(𝕄G_1^\epsilon \right)(𝐱)`$ $`={\displaystyle \frac{1}{\epsilon ^p}}v_+^{}\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)`$
$`\times \left(\left(𝕄dF_𝐕^\epsilon ,dK\right)\left(𝐱\right)\left(F_K^\epsilon \right)^{}(K(𝐱))\left(𝕄dK,dK\right)(𝐱)\right),`$
$`\left(𝕄G_2^\epsilon \right)(𝐱)`$ $`={\displaystyle \frac{1}{2\epsilon ^{2p}}}v_+^{\prime \prime }\left({\displaystyle \frac{K(𝐱)}{\epsilon ^p}}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)\left(𝕄dK,dK\right)(𝐱).`$ (0.79)
For $`\epsilon >0`$ we define two functions $`f_1^\epsilon ,f_2^\epsilon C^4\left(\overline{𝐈}\{𝐱:\epsilon ^p<K(𝐱)<2\epsilon ^p\}\right)`$ by

$$f_1^\epsilon (𝐱):=\left(𝕄dF_𝐕^\epsilon ,dK\right)\left(𝐱\right)\left(F_K^\epsilon \right)^{}(K(𝐱))\left(𝕄dK,dK\right)(𝐱)$$

and

$$f_2^\epsilon (𝐱):=\frac{F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)}{K(𝐱)}\left(𝕄dK,dK\right)(𝐱).$$

We also define

$$\omega _1(h):=\frac{v_+^{}(h)}{h^n},\omega _2(h):=\frac{v_+^{\prime \prime }(h)}{2h^{n1}},h.$$

Then, for all $`𝐱\overline{𝐈},`$

$$\begin{array}{cc}\hfill \frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)& =\epsilon ^{p(n+1)}\omega _1\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(K(𝐱)\right)^n\hfill \\ & =\epsilon ^1\omega _1\left(\frac{K(𝐱)}{\epsilon ^p}\right)𝖽_n(K(𝐱))\hfill \end{array}$$

and

$$\begin{array}{cc}\hfill \frac{1}{2\epsilon ^{2p}}K(x)v_+^{\prime \prime }\left(\frac{K(𝐱)}{\epsilon ^p}\right)& =\epsilon ^{2p}K(𝐱)\omega _2\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(\frac{K(𝐱)}{\epsilon ^p}\right)^{n1}\hfill \\ & =\epsilon ^1\omega _2\left(\frac{K(𝐱)}{\epsilon ^p}\right)𝖽_n(K(𝐱)).\hfill \end{array}$$

Therefore,

$$\left(𝕄G_1^\epsilon \right)(𝐱)=\epsilon ^1\omega _1\left(\frac{K(𝐱)}{\epsilon ^p}\right)𝖽_n(K(𝐱))f_1^\epsilon (𝐱)$$

and

$$\left(𝕄G_2^\epsilon \right)(𝐱)=\epsilon ^1\omega _2\left(\frac{K(𝐱)}{\epsilon ^p}\right)𝖽_n(K(𝐱))f_2^\epsilon (𝐱).$$

Notice that

$$\begin{array}{c}\left(𝕄G_i^\epsilon \right)(𝐱)=\epsilon ^1\left(f_i^\epsilon \left(𝐱\right)\left(𝔸_0f_i^\epsilon \right)([𝐱])\right)𝖽_n\left(K(𝐱)\right)\omega _i\left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right)\hfill \\ \hfill +\epsilon ^1\left(𝔸_0f_i^\epsilon \right)([𝐱])𝖽_n\left(K(𝐱)\right)\omega _i\left(\frac{K\left(𝐱\right)}{\epsilon ^p}\right),i=1,2.\end{array}$$
(0.80)
Define

$$\begin{array}{c}\hfill \gamma _i(\epsilon ):=\underset{\epsilon ^p<h<2\epsilon ^p}{sup}\left|\left(𝔸_0f_i^\epsilon \right)\left(\left[K^1(h)\right]\right)\right|=\underset{\epsilon ^p<h<2\epsilon ^p}{sup}\left|\left(𝔸_Kf_i^\epsilon \right)\left(h\right)\right|,i=1,2.\end{array}$$

Notice that there exists a positive constant $`C^{}`$ such that

$$\begin{array}{c}\hfill \left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝔸_0f_i^\epsilon \right)\left([𝐗_u]\right)𝖽_n\left(K\left(𝐗_u\right)\right)\omega _i\left(\frac{K\left(𝐗_u\right)}{\epsilon ^p}\right)𝑑u\right]\right|<C^{}\epsilon \gamma _i(\epsilon ).\end{array}$$
(0.81)
Now combine (0.80), (0.81) and Proposition 0.3 with $`\omega _i`$ for $`\omega `$ and with $`f_i^\epsilon ,i=1,2,`$ for $`f`$ to see that

$$\begin{array}{c}\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝕄G_i^\epsilon \right)\left(𝐗_s\right)𝑑s\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|\hfill \\ \hfill <C(1+t)\epsilon ^pf_i^\epsilon _{C^5\left(\right)}+C^{}\gamma _i(\epsilon ).\end{array}$$
(0.82)
###### Lemma 0.12.

$$\underset{\epsilon >0}{sup}\left(\epsilon ^{6q}f_1^\epsilon _{C^5\left(\right)}\right)<\mathrm{}\text{ and }\underset{\epsilon 0}{lim}\gamma _1(\epsilon )=0.$$

###### Proof.

Recall that

$$f_1^\epsilon (𝐱):=\left(𝕄dF_𝐕^\epsilon ,dK\right)\left(𝐱\right)\left(F_K^\epsilon \right)^{}(K(𝐱))\left(𝕄dK,dK\right)(𝐱)$$

and

$$\begin{array}{c}\hfill \left(A_Kf_1^\epsilon \right)\left(h\right)=\left(A_K\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)\left(h\right)\left(F_K^\epsilon \right)^{}(h)\left(A_K\left(𝕄dK,dK\right)\right)\left(h\right).\end{array}$$

Notice that all derivatives of $`f_1^\epsilon `$ of order $`5`$ involve derivatives of $`F_𝐕^\epsilon `$ and $`F_K^\epsilon `$ of order $`6`$. Therefore, by Lemma 0.9 and Lemma 0.10, there exists a constant $`C>0`$ such that

$$f_1^\epsilon _{C^5\left(\right)}<C\epsilon ^{6q}.$$

Using the gluing requirement $`\underset{¯}{G}F=\overline{G}F`$ on the function $`F𝒟^{},`$ where

$$\underset{¯}{G}F=\left(A^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)\left(0\right)$$

and

$$\overline{G}F=F_K^{}(0)\left(A_K\left(𝕄dK,dK\right)\right)\left(0\right),$$

we see that

$$\begin{array}{cc}& \left|\left(A_Kf_1^\epsilon \right)\left(h\right)\right|\left|\left(A^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)\left(h\right)\left(A^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)\left(0\right)\right|\hfill \\ & +\left|\left(A^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕^\epsilon ,dK\right)\right)\left(0\right)\left(A^{\mathrm{𝚃𝚛}}\left(𝕄dF_𝐕,dK\right)\right)\left(0\right)\right|\hfill \\ & +\left|F_K^{}(0)\left(A_K\left(𝕄dK,dK\right)\right)\left(0\right)\left(F_K^\epsilon \right)^{}(0)\left(A_K\left(𝕄dK,dK\right)\right)\left(0\right)\right|\hfill \\ & +\left|\left(F_K^\epsilon \right)^{}(0)\left(A_K\left(𝕄dK,dK\right)\right)\left(0\right)\left(F_K^\epsilon \right)^{}(h)\left(A_K\left(𝕄dK,dK\right)\right)\left(h\right)\right|.\hfill \end{array}$$

for all $`h(a,a)`$. Using properties of the trace operators, Lemma 0.11, and the approximation results of Lemma 0.9 and Lemma 0.10, we can show that there exists a constant $`C>0`$ such that

$$\left|\gamma _1(\epsilon )\right|C\left(F_𝐕^\epsilon _{^2(𝐕)}\sqrt{|h|}+F_𝐕^\epsilon F_𝐕_{^2(𝐕)}+F_K^\epsilon F_K_{C^1\left((0,K^{}]\right)}+\epsilon ^{p2q}\right)$$

for all $`h(a,a).`$ With $`q<p/2,`$ the inequality above implies that $`lim_{\epsilon 0}\gamma _1(\epsilon )=0.`$

Before finishing the proof of Proposition 0.8, we will need several auxiliary results.

###### Lemma 0.13.

Let $`fC^n\left(\right)`$ for some integer $`n2.`$

There exists a function $`R_{f,𝐔}C^{n2}\left(\right)`$ such that

$$f(h)=f(0)+hf^{}(h)+h^2R_{f,𝐔}(h),$$
(0.83)
For each integer $`m,0<mn,`$ there exists a constant $`C_m>0`$ such that

$$R_{f,𝐔}_{C^{m2}\left([a,a]\right)}C_mf_{C^m\left([a,a]\right)}.$$
(0.84)
A very simple proof of Lemma 0.13 can be found in \[S.1\] (Lemma 9.4).

###### Lemma 0.14.

Let $`fC^n\left(^2\right)`$ for some integer $`n2,`$ and suppose that $`f(𝐱)f_0`$ for $`𝐱𝐕.`$ Then

$$\left(𝕄df,dK\right)(𝐱)=\frac{(f,K)(𝐱)}{K(𝐱)^2}\left(𝕄dK,dK\right)(𝐱)$$

for all $`𝐱𝐕.`$ There exists a function $`R_{f,𝐕}C^{n2}\left(^2\right)`$ such that for every $`𝐱`$,

$$f(𝐱)=f_0+K(𝐱)\frac{\left(𝕄df,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}+K^2(𝐱)R_{f,𝐕}(𝐱).$$
(0.85)
For each integer $`m,0<mn,`$ there exists a constant $`C_m>0`$ such that

$$R_{f,𝐕}_{C^{m2}\left(\overline{}\right)}C_mf_{C^m\left(\overline{}\right)}.$$
(0.86)
###### Proof.

Let $`𝐱𝐕,`$ then $`(f,^{}K)(𝐱)=0`$. By projecting $`f`$ onto two orthogonal directions of $`K`$ and $`^{}K,`$ we see that

$$\begin{array}{cc}\hfill f(𝐱)& =\frac{(f,K)(𝐱)}{K(𝐱)^2}K(𝐱)+\frac{(f,^{}K)(𝐱)}{^{}K(𝐱)^2}^{}K(𝐱)\hfill \\ & =\frac{(f,K)(𝐱)}{K(𝐱)^2}K(𝐱).\hfill \end{array}$$

Therefore, using the definition of $`df,dg_t`$, we see that

$$\left(𝕄df,dK\right)(𝐱)=\frac{(f,K)(𝐱)}{K(𝐱)^2}\left(𝕄dK,dK\right)(𝐱)$$

for all $`𝐱𝐕.`$

Using the flow $`\zeta _t`$ on $``$ introduced in (0.37) we consider the function $`F:tf\left(\zeta _{tK(𝐱)}(𝐱)\right)`$. Notice that

$$\dot{\zeta }_{tK(𝐱)}(𝐱)=K(𝐱)\frac{K}{K^2}\left(\zeta _{tK(𝐱)}(𝐱)\right),$$

$`F(0)=f\left(\zeta _0(𝐱)\right)=f(𝐱),`$ and $`F(1)=f\left(\zeta _{K(𝐱)}(𝐱)\right)=f_0.`$ Using the identity

$$F(t)=F\left(s\right)+F^{}(t)\left(ts\right)+_s^t\left(sr\right)F^{\prime \prime }(r)𝑑r$$

with $`t=0`$ and $`s=1,`$ we obtain

$$\begin{array}{cc}\hfill f(𝐱)& =f_0+K(𝐱)\frac{(f,K)(𝐱)}{K(𝐱)^2}+K^2(𝐱)R_{f,𝐕}(𝐱)\hfill \\ & =f_0+K(𝐱)\frac{\left(𝕄df,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}+K^2(𝐱)R_{f,𝐕}(𝐱),\hfill \end{array}$$

for all $`𝐱`$, where

$$R_{f,𝐕}(𝐱)=_0^1(t1)(\left(\frac{(f,K)}{K^2}\right),\frac{K}{K^2})\left(\zeta _{tK(𝐱)}(𝐱)\right)𝑑t.$$

Let $`0<mn`$, then from this expression for $`R_{f,𝐕}(𝐱)`$ we see that there exists a constant $`C_m>0`$ such that the bound (0.86) holds.

###### Lemma 0.15.

There exists a function $`f_3^\epsilon C^5\left(\right)`$ satisfying $`𝔸_0f_3^\epsilon 0,`$ and

$$\underset{\epsilon >0}{sup}\epsilon ^{8q}f_3^\epsilon _{C^5\left(\right)}<\mathrm{},$$
(0.87)
such that for all $`𝐱,`$

$$(F_𝐕^\epsilon (𝐱),^{}K(𝐱))=K(𝐱)f_3^\epsilon (𝐱).$$
(0.88)
###### Proof.

By Lemma 0.14,

$$F_𝐕^\epsilon (𝐱)=F(𝐕)+K(𝐱)\frac{\left(𝕄dF_𝐕^\epsilon ,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}+K^2(𝐱)R_{F_𝐕^\epsilon ,𝐕}(𝐱)$$

for all $`𝐱`$, which implies that

$$\begin{array}{c}(F_𝐕^\epsilon (𝐱),^{}K(𝐱))=K(𝐱)(\left(\frac{\left(𝕄dF_𝐕^\epsilon ,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}\right),^{}K(𝐱))\hfill \\ \hfill +K^2(𝐱)(R_{F_𝐕^\epsilon ,𝐕}(𝐱),^{}K(𝐱)).\end{array}$$

Take

$$f_3^\epsilon (𝐱)=(^{}K(𝐱),\left(\frac{\left(𝕄dF_𝐕^\epsilon ,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}\right))+K(𝐱)(^{}K(𝐱),R_{F_𝐕^\epsilon ,𝐕}(𝐱)).$$

Then (0.88) holds. From this identity and from (0.89) we see that for any $`𝐱`$

$$\left(𝔸_0\left(K(𝐱)f_3^\epsilon \right)\right)([𝐱])=K(𝐱)\left(𝔸_0f_3^\epsilon \right)([𝐱])0.$$

Therefore, $`𝔸_0f_3^\epsilon 0.`$

To verify that (0.87) holds, we use inequality (0.86) and Lemma 0.9. This finishes the proof of Lemma 0.15.

###### Lemma 0.16.

$$\underset{\epsilon >0}{sup}\left(\epsilon ^{7q}f_2^\epsilon _{C^5\left(\right)}\right)<\mathrm{}\text{ and }\underset{\epsilon 0}{lim}\gamma _2(\epsilon )=0.$$

###### Proof.

Recall that

$$f_2^\epsilon (𝐱):=\frac{F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)}{K(𝐱)}\left(𝕄dK,dK\right)(𝐱),$$

$`F_K^\epsilon (0)=F\left(𝚪_𝐕\right),`$ and $`F_𝐕^\epsilon (𝐱)=F\left(𝚪_𝐕\right)`$ for $`𝐱𝐕.`$

By Lemma 0.13 and Lemma 0.14, if $`𝐱`$ then

$$\begin{array}{cc}\hfill \frac{F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)}{K(𝐱)}& =\frac{F_K^\epsilon \left(K(𝐱)\right)F\left(𝚪_𝐕\right)}{K(𝐱)}\frac{F_𝐕^\epsilon (𝐱)F\left(𝚪_𝐕\right)}{K(𝐱)}\hfill \\ & =\left(F_K^\epsilon \right)^{}\left(K(𝐱)\right)+K(𝐱)R_{F_K^\epsilon ,𝐔}\left(K(𝐱)\right)\hfill \\ & \frac{\left(𝕄dF_𝐕^\epsilon ,dK\right)(𝐱)}{\left(𝕄dK,dK\right)(𝐱)}K(𝐱)R_{F_𝐕^\epsilon ,𝐕}(𝐱)\hfill \end{array}$$

Now, by Lemma 0.10, Lemma 0.9, and applying inequalities (0.84) and (0.86), there exists a constant $`C>0`$ such that

$$f_2^\epsilon _{C^3\left(\right)}<C\epsilon ^{7q}.$$

Similarly, notice that

$$\begin{array}{c}f_2^\epsilon (𝐱)f_1^\epsilon (𝐱)=\left(\frac{F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)}{K(𝐱)}\left(F_K^\epsilon \right)^{}(K(𝐱))\right)\left(𝕄dK,dK\right)(𝐱)\hfill \\ \hfill \left(𝕄dF_𝐕^\epsilon ,dK\right)\left(𝐱\right),\end{array}$$

and so there exists a constant $`C>0`$ such that

$$\left|f_2^\epsilon (𝐱)f_1^\epsilon (𝐱)\right|C\epsilon ^{p2q}$$

for all $`𝐱\overline{𝐈}\{𝐲:\epsilon ^p<K(𝐲)<2\epsilon ^p\}.`$ Now,

$$\gamma _2(\epsilon )\gamma _1(\epsilon )+C\epsilon ^{p2q}.$$

Therefore, by Lemma 0.12, and since $`q<p/2`$, $`lim_{\epsilon 0}\gamma _2(\epsilon )=0.`$

From Lemma 0.12 and Lemma 0.16, $`lim_{\epsilon 0}\gamma _1(\epsilon )=lim_{\epsilon 0}\gamma _2(\epsilon )=0.`$ Therefore, in the case of $`i=1,2`$, (0.78) follows from (0.82). The case $`i=0`$ is trivial due to the fact that $`\left(𝕄G_0^\epsilon \right)(𝐱)0.`$ This completes the proof of Proposition 0.8.

###### Proposition 0.9.

Fix $`0t_1<t_2<\mathrm{}<t_ms<t`$ and $`h_1,\mathrm{},h_mC_b\left(^2\right).`$ If $`F𝒟^{}`$ then

$$\underset{\epsilon 0}{lim}𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝕄G_3^\epsilon \right)\left(𝐗_s\right)𝑑s\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]=0.$$

###### Proof.

Notice that

$$\begin{array}{cc}\hfill \left(𝕄G_3^\epsilon \right)(𝐱)& =\frac{1}{\epsilon }\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)(F_𝐕^\epsilon (𝐱),^{}H(𝐱))\hfill \\ & =\frac{1}{\epsilon }\left(1v_+\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right)n𝖽_{n1}(K(𝐱))(F_𝐕^\epsilon (𝐱),^{}K(𝐱))\hfill \end{array}$$

and

$`\left(𝔸_0(F_𝐕^\epsilon ,^{}K)\right)([𝐱])`$ $`={\displaystyle \frac{1}{\eta \left(K(𝐱)\right)}}{\displaystyle _0^{\eta \left(K(𝐱)\right)}}(F_𝐕^\epsilon ,^{}K)(\varphi _t(𝐱))𝑑t`$
$`={\displaystyle \frac{1}{\eta \left(K(𝐱)\right)}}{\displaystyle _0^{\eta \left(K(𝐱)\right)}}{\displaystyle \frac{d}{dt}}F_𝐕^\epsilon (\varphi _t(𝐱))𝑑t`$
$`=F_𝐕^\epsilon \left(\varphi _{\eta \left(K(𝐱)\right)}\left(𝐱\right)\right)F_𝐕^\epsilon (𝐱)=0.`$ (0.89)
Let $`f_3^\epsilon `$ be a function from Lemma 0.15, and define

$$\omega _3(h):=n\left(1v_+(h)\right),h.$$

Then,

$$\left(𝕄G_3^\epsilon \right)(𝐱)=\epsilon ^1\omega _3\left(\frac{K(𝐱)}{\epsilon ^p}\right)𝖽_n(K(𝐱))f_3^\epsilon (𝐱).$$
(0.90)
Now combine (0.90), and Proposition 0.3 with $`\omega _3`$ for $`\omega `$ and with $`f_3^\epsilon `$ for $`f`$ to see that

$$\left|𝔼^\epsilon \left[_{s\tau }^{t\tau }\left(𝕄G_3^\epsilon \right)\left(𝐗_s\right)𝑑s\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]\right|<C\epsilon ^p(1+t)f_3^\epsilon _{C^5\left(\right)}.$$
(0.91)
Thus, Proposition 0.9 holds.

###### Proposition 0.10.

Fix $`F𝒟^{}`$ and $`t>0.`$ Then

$$\underset{\epsilon 0}{lim}𝔼^\epsilon \left[\left|_0^{t\tau }\left(𝕄R^\epsilon \right)\left(𝐗_s\right)𝑑s\right|\right]=0.$$

###### Proof.

Consider

$$\left(𝕄R^\epsilon \right)(𝐱)=\frac{1}{\epsilon ^p}v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\left(F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right)\left(𝕄\left(K\right)\right)(𝐱)$$

Define

$$\beta _K(\epsilon ):=\underset{\begin{array}{c}𝐱\overline{𝐈}\\ \epsilon ^pK(𝐱)2\epsilon ^p\end{array}}{sup}\left|F_K^\epsilon \left(K(𝐱)\right)F_𝐕^\epsilon (𝐱)\right|,$$

which satisfies

$$\beta _K(\epsilon )\underset{\begin{array}{c}𝐱\overline{𝐈}\\ \epsilon ^pK(𝐱)2\epsilon ^p\end{array}}{sup}\left(\left|F_K^\epsilon \left(K(𝐱)\right)F\left(𝚪_𝐕\right)\right|+\left|F_𝐕^\epsilon (𝐱)F\left(𝚪_𝐕\right)\right|\right).$$
(0.92)
Notice that

$$F_K^\epsilon (K(𝐱))F\left(𝚪_𝐕\right)=F_K^\epsilon (K(𝐱))F_K^\epsilon (0)=\left(F_K^\epsilon \right)^{}(0)K(𝐱)+o\left(|K(𝐱)|\right).$$

From this expression and Lemma 0.10, there exist constants $`C_1,C_{11}>0`$ such that

$$\left|F_K^\epsilon (K(𝐱))F\left(𝚪_𝐕\right)\right|<C_1\epsilon ^pF_K^\epsilon _{C^1\left([0,K^{}]\right)}<C_{11}\epsilon ^{pq}.$$
(0.93)
By the definition of $`K`$, if $`𝐱^{}𝐕,`$ then $`K(𝐱^{})=0`$, and $`K(𝐱^{})0.`$ Therefore, there exists $`𝐱^{}𝐕,`$ such that

$$\begin{array}{cc}\hfill F_𝐕^\epsilon (𝐱)F\left(𝚪_𝐕\right)& =F_𝐕^\epsilon (𝐱)F_𝐕^\epsilon \left(𝐱^{}\right)\hfill \\ & =(F_𝐕^\epsilon \left(𝐱^{}\right),𝐱𝐱^{})+o\left(𝐱𝐱^{}\right)\hfill \\ & =F_𝐕^\epsilon \left(𝐱^{}\right)𝐱𝐱^{}+o\left(𝐱𝐱^{}\right)\hfill \\ & =\frac{F_𝐕^\epsilon \left(𝐱^{}\right)}{K\left(𝐱^{}\right)}K(𝐱)+o\left(|K(𝐱)|\right).\hfill \end{array}$$

From this expression and Lemma 0.9, there exist constants $`C_2,C_{22}>0`$ such that

$$\left|F_𝐕^\epsilon (𝐱)F\left(𝚪_𝐕\right)\right|<C_2\epsilon ^pF_𝐕^\epsilon _{C^1\left(\overline{𝐈}\right)}<C_{22}\epsilon ^{pq}.$$
(0.94)
Now, combine inequalities (0.92), (0.93), and (0.94) to conclude that $`\beta _K(\epsilon )\left(C_{11}+C_{22}\right)\epsilon ^{pq}`$ for all $`\epsilon >0.`$ Therefore, since

$$\left|v_+^{}\left(\frac{K(𝐱)}{\epsilon ^p}\right)\right|C_w\chi _{[\epsilon ^p,2\epsilon ^p]}\left(K(𝐱)\right)$$

for some $`C_w>0`$ and

$$\underset{𝐱\overline{𝐈}}{sup}\left|\left(𝕄\left(K\right)\right)(𝐱)\right|C_K$$

for some $`C_K>0,`$ there exists a positive constant $`C:=C_wC_K\left(C_{11}+C_{22}\right)`$ such that

$$𝔼^\epsilon \left[\left|_0^{t\tau }\left(𝕄R^\epsilon \right)\left(𝐗_u\right)𝑑u\right|\right]C\epsilon ^{pq}𝔼^\epsilon \left[\frac{1}{\epsilon ^p}_0^{t\tau }\chi _{[\epsilon ^p,2\epsilon ^p]}\left(K(𝐗_u)\right)𝑑u\right].$$

This inequality and Lemma 0.5 give the desired result.

###### Proposition 0.11.

Fix $`0t_1<t_2<\mathrm{}<t_ms<t`$ and $`h_1,\mathrm{},h_mC_b\left(^2\right).`$ If $`F𝒟^{},`$ then

$$\underset{\epsilon 0}{lim}𝔼^\epsilon \left[_0^{t\tau }\left(\left(𝕄\left(^\epsilon F^\epsilon \right)\right)\left(𝐗_s\right)\left(^{}F\right)\left(\left[𝐗_s\right]\right)\right)𝑑s\underset{k=1}{\overset{m}{}}h_k\left(𝐗_{t_k}\right)\right]=0.$$
(0.95)
###### Proof.

Given $`𝐱\overline{𝐈},`$ consider

$$\begin{array}{c}\left(𝕄\left(^\epsilon F^\epsilon \right)\right)\left(𝐱\right)\left(^{}F\right)\left([𝐱]\right)=\left(\left(𝕄L^\epsilon \right)\left(𝐱\right)\left(^{}F\right)\left([𝐱]\right)\right)\hfill \\ \hfill +\left(𝕄K^\epsilon \right)\left(𝐱\right)+\underset{k=0}{\overset{3}{}}\left(𝕄G_i^\epsilon \right)\left(𝐱\right)+\left(𝕄R^\epsilon \right)\left(𝐱\right).\end{array}$$

Now, combine Proposition 0.7, Proposition 0.8, Proposition 0.9, and Proposition 0.10 to verify that (0.95) holds.

Finally, we can prove the desired statement about the limiting martingale problem.

###### Theorem 0.1.

Fix $`𝐱\overline{𝐈}`$. Let $`^{}𝒫\left(C([0,\mathrm{});𝚪)\right)`$ be a cluster point of the $`^{\epsilon ,}`$s. Then $`^{}`$ satisfies the martingale problem for $`(^{},\delta _{[𝐱]})`$.

###### Proof.

Let $`𝔼^\epsilon `$ be the expectation operator associated with the law $`^\epsilon `$ and let $`𝔼^{}`$ be the expectation operator associated with the law $`^{}.`$

We know that every $`^\epsilon 𝒫(C[0,\mathrm{});^2)`$ is a solution of the stopped martingale problem for $`(_{t/\epsilon ^2}^\epsilon ,\delta _𝐱,𝐈),`$ and that $`F^\epsilon C^2\left(^2\right)𝒟^\epsilon .`$ Therefore, we know that for any $`0s<t,`$ and $`\epsilon >0,`$

$$\begin{array}{c}\hfill F^\epsilon \left(𝐗_{t\tau }\right)F^\epsilon \left(𝐗_{s\tau }\right)_{s\tau }^{t\tau }\left(_{u/\epsilon ^2}^\epsilon F^\epsilon \right)\left(𝐗_u\right)𝑑u\end{array}$$
(0.96)
is a $`^\epsilon `$-martingale. We also know that $`^\epsilon \left\{𝐗_0=𝐱\right\}=1.`$

Our theorem claims that $`^{}\left\{𝐘_0=[𝐱]\right\}=1`$ and if $`F𝒟^{},`$ $`0t_1<t_2<\mathrm{}<t_ms<t,`$ and $`h_1^{},\mathrm{},h_m^{}C_b(𝚪)`$ then

$$𝔼^{}\left[\left\{F\left(𝐘_t\right)F\left(𝐘_s\right)_s^t\left(^{}F\right)\left(𝐘_u\right)𝑑u\right\}\underset{k=1}{\overset{m}{}}h_k^{}\left(𝐘_{t_k}\right)\right]=0.$$
(0.97)
Notice that if $`B𝚪`$ is any set which does not contain $`[𝐱]`$, then $`\pi ^1(B)\overline{𝐈}`$ does not contain $`𝐱`$, and

$$^{}\left\{𝐘_0B\right\}\overline{\underset{\epsilon 0}{lim}}^\epsilon \left\{𝐘_0B\right\}=\overline{\underset{\epsilon 0}{lim}}^\epsilon \left\{𝐗_0\pi ^1(B)\right\}=0.$$

Therefore $`^{}\left\{𝐘_0=[𝐱]\right\}=1.`$

By the definition of $`𝒟^{}`$ we know that $`\left(^{}F\right)\left(𝚪_𝐈\right)=0,`$ which implies that for any $`0s<t,`$

$$_{s\tau }^{t\tau }\left(^{}F\right)(𝐘_s)𝑑s=_s^t\left(^{}F\right)(𝐘_s)𝑑s.$$

Now,

$`𝔼^{}`$ $`\left[\left\{F\left(𝐘_t\right)F\left(𝐘_s\right){\displaystyle _s^t}\left(^{}F\right)\left(𝐘_u\right)𝑑u\right\}{\displaystyle \underset{k=1}{\overset{m}{}}}h_k^{}\left(𝐘_{t_k}\right)\right]`$
$`=\underset{\epsilon 0}{lim}𝔼^\epsilon \left[\{F\left(𝐘_t\right)F\left(𝐘_s\right)\mathrm{}.{\displaystyle _s^t}\left(^{}F\right)\left(𝐘_u\right)du\}{\displaystyle \underset{k=1}{\overset{m}{}}}h_k^{}\left(𝐘_{t_k}\right)\right]`$
$`=\underset{\epsilon 0}{lim}𝔼^\epsilon \left[\{F\pi \left(𝐗_{t\tau }\right)F\pi \left(𝐗_{s\tau }\right)\mathrm{}.{\displaystyle _{s\tau }^{t\tau }}\left(^{}F\right)\left(𝐘_u\right)du\}{\displaystyle \underset{k=1}{\overset{m}{}}}h_k^{}\left(𝐘_{t_k}\right)\right].`$ (0.98)
Notice that

$$\begin{array}{cc}\hfill F\pi \left(𝐗_{t\tau }\right)& F\pi \left(𝐗_{s\tau }\right)_{s\tau }^{t\tau }\left(^{}F\right)\left(𝐘_u\right)𝑑u\hfill \\ & =\left(F\pi \left(𝐗_{t\tau }\right)F^\epsilon \left(𝐗_{t\tau }\right)\right)\left(F\pi \left(𝐗_{s\tau }\right)F^\epsilon \left(𝐗_{s\tau }\right)\right)\hfill \\ & +F^\epsilon \left(𝐗_{t\tau }\right)F^\epsilon \left(𝐗_{s\tau }\right)_{s\tau }^{t\tau }_{u/\epsilon ^2}^\epsilon F^\epsilon \left(𝐗_u\right)𝑑u\hfill \\ & +_{s\tau }^{t\tau }\left(\left(_{u/\epsilon ^2}^\epsilon F^\epsilon \right)\left(𝐗_u\right)\left(𝕄\left(^\epsilon F^\epsilon \right)\right)\left(𝐗_u\right)\right)𝑑u\hfill \\ & +_{s\tau }^{t\tau }\left(\left(𝕄\left(^\epsilon F^\epsilon \right)\right)\left(𝐗_u\right)\left(^{}F\right)\left(𝐘_u\right)\right)𝑑u\hfill \end{array}$$

Keeping this expression in mind, we use the statement of the martingale problem (0.96), Lemma 0.1 with $`f(𝐱,t)=_t^\epsilon F^\epsilon (𝐱)`$ concerning the first-level averaging, and Eq. (0.95) to see that (0.98) implies (0.97), and this completes the proof.

### 4.5 Uniqueness

We already know that every limit point of the $`^\epsilon `$-laws of $`\left\{𝐘_t,t0\right\}`$ satisfies the martingale problem for $`(^{},\delta _{[𝐱]})`$. Our next step is to verify that the $`^\epsilon `$-laws have only one limit point.

###### Proposition 0.12.

The operator $`^{}`$ generates a strongly continuous contraction semigroup on $`C\left(𝚪\right).`$

###### Proof.

To prove this proposition using the Hille-Yosida theorem, we need to show that $`𝒟^{}`$ is dense in $`C(𝚪),`$ that $`^{}`$ satisfies the positive maximum principle, and that the range of $`\lambda I^{}`$ is dense in $`C(𝚪)`$ for some $`\lambda >0.`$

###### Lemma 0.17.

$`𝒟^{}`$ is dense in $`C(𝚪).`$

###### Proof.

Let $`FC(𝚪).`$ To prove the statement of this lemma, we will approximate this function with functions $`F_n𝒟^{}`$ in the $`_{C(𝚪)}`$-norm. We will construct the $`F_n`$’s in two steps.

Given $`[𝐱]𝚪`$, take

$$\begin{array}{cc}\hfill F_n^0([𝐱])& :=F([𝐱])+\left(F\left(𝚪_𝐕\right)F([𝐱])\right)v\left(2nK(𝐱)\right)\hfill \\ & +\left(F\left(𝚪_𝐈\right)F([𝐱])\right)v\left(2n\left(K(𝐱)K^{}\right)\right).\hfill \end{array}$$

Then,

$$\underset{n0}{lim}FF_n^0_{C(𝚪)}=0.$$
(0.99)
Second, for every $`n`$, using the standard mollification, there exists a function $`F_n^1C^{\mathrm{}}(𝐕𝐔)`$ such that

$$\underset{\begin{array}{c}|K(𝐱)|\frac{1}{2n}\\ \left|K(𝐱)K^{}\right|\frac{1}{2n}\end{array}}{sup}\left|F([𝐱])F_n^1([𝐱])\right|\frac{1}{n}.$$

Now choose

$$\begin{array}{cc}\hfill F_n([𝐱])& :=F_n^1([𝐱])+\left(F\left(𝚪_𝐕\right)F_n^1([𝐱])\right)v\left(2nK(𝐱)\right)\hfill \\ & +\left(F\left(𝚪_𝐔\right)F_n^1([𝐱])\right)v\left(2n\left(K(𝐱)K^{}\right)\right).\hfill \end{array}$$

Then,

$$\underset{n0}{lim}F_n^0F_n_{C(𝚪)}=0.$$
(0.100)
Each of the $`F_n`$s is a smooth function on $`𝐕𝐔`$ and is a constant in a small neighborhood of $`𝐕`$ and in a small neighborhood of $`𝐈`$. Thus, $`F_n𝒟^{}.`$ Finally, (0.99) and (0.100) imply that

$$\underset{n0}{lim}FF_n_{C(𝚪)}=0.$$

Therefore, $`𝒟^{}`$ is dense in $`C(𝚪)`$.

###### Lemma 0.18.

$`^{}`$ satisfies the positive maximum principle.

###### Proof.

By the definition of the positive maximum principle we need to show that whenever $`F𝒟^{},`$ $`\left[𝐱_0\right]𝚪,`$ and $`sup_{\left[𝐱\right]𝚪}F(\left[𝐱\right])=F\left(\left[𝐱_0\right]\right)0`$, we have $`^{}F\left(\left[𝐱_0\right]\right)0.`$

Consider $`F𝒟^{},`$ and let it attain its supremum at a point $`\left[𝐱_0\right]𝚪.`$ If $`\left[𝐱_0\right]=𝚪_𝐈`$ then, by definition of $`𝒟^{}`$, we have $`^{}F\left(\left[𝐱_0\right]\right)=0.`$

Assume that $`\left[𝐱_0\right]𝚪_𝐕𝚪_𝐔.`$ Recall that the operator $`^{}`$ acts locally as a strongly elliptic operator on both $`𝐕`$ and $`𝐔`$. Therefore, $`^{}F\left(\left[𝐱_0\right]\right)0.`$

Assume that $`F`$ attains its supremum at $`\left[𝐱_0\right]=𝚪_𝐕`$, then $`\overline{G}F0`$ and $`\underset{¯}{G}F0.`$ Since $`F𝒟^{}`$, we know that $`\overline{G}F=\underset{¯}{G}F=0.`$ This implies that

$$F_K^{}(0)=\frac{\overline{G}F}{\overline{\sigma }^2(0)}=0.$$

By Lemma 0.10, $`F_KC^2\left([0,K^{}]\right)`$ and $`h=0`$ is its local maximum. Therefore, $`F_K^{\prime \prime }(0)0.`$ We notice that in this case

$$\begin{array}{c}\hfill \left(^{}F\right)\left(\left[𝐱_0\right]\right)=\underset{h0}{lim}\left(𝕄\left(^KF_K\right)\right)(h)=\overline{b}(0)F_K^{}(0)+\frac{1}{2}\overline{\sigma }^2\left(0\right)F_K^{\prime \prime }(0)0.\end{array}$$

This finishes the proof of Lemma 0.18.

###### Lemma 0.19.

The range of $`\lambda I^{}`$ is dense in $`C\left(𝚪\right)`$ for some $`\lambda >0`$.

We choose to omit the proof of this lemma since it is very similar to that of Lemma 8.4 in \[S.1\].

Lemmas 0.17, 0.18, and 0.19 above allow us to conclude that uniqueness holds for the solution of the martingale problem for $`(^{},\delta _{[𝐱]})`$. Therefore, the $`^\epsilon `$-laws of $`\left\{𝐘_t,t0\right\}`$ converge to the law of a $`𝚪`$-valued Markov process.

References