Set .
Observe that the probability measures converge in
towards the measure . Since
, it follows that
converges to on all of .
Fix and set , where
, , is such that is continuous and .
It follows from lemma 2.2 that
for all ,
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Observe that is continuous on , hence the sublevel sets
are compact.
We infer, letting ,
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Letting go to zero and using that yields
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Therefore the capacity of the sublevel sets of decreases fast
as , hence by
lemma 6.2 in [GZ 2] we get .
Since , it follows
from proposition 4.3 that .
∎