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$ \newcommand{\bR}{\mathbb{R}} \newcommand{\diff}{\mathop{}\!\mathrm{d}} $ We fix $\alpha \in (0, 1)$ and $c>0$. Let $f : \bR^d \to \bR$ and $\ell : \bR^d \to \bR_+$ be measurable such that $\ell$ is a probability density function and that $$ \| f \|_\infty + \|\ell\|_{\infty} + \sup_{\substack{x, y \in {\bR}^d \\ x \neq y}} \frac{| \ell (x)-\ell (y)|}{|x-y|^\alpha} + \int_{\bR^d} |y| \ell (y) \diff y \le c. $$

Let $(p_t)_{t>0}$ be the standard Gaussian heat kernel on $\bR^d$, i.e., $$ p_t (x) := \frac{1}{(4 \pi t)^{\frac{d}{2}}} \exp \left ( -\frac{|x|^2}{4 t} \right ). $$

We define $$ I_t := \int_{\bR^d \times \bR^d} |f(x)-f(y)| (1+|y|) \ell (x) p_t (x-y) \diff x \diff y. $$

Is there a constant $c_1 >0$ (depending only on $d,\alpha, c$) such that $I_t \le c_1 t^{\frac{\alpha}{2}}$ for $t>0$?

Other upper bounds are also welcome. Thank you for your elaboration.

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$\newcommand{\R}{\mathbb R}\newcommand{\Z}{\mathbb Z}\newcommand{\de}{\delta}\newcommand{\al}{\alpha}$The answer is no. In fact, $I_t$ does not have to be small even for small $t>0$.

Indeed, take any $\al\in(0,1)$ and suppose that $d=1$, \begin{equation*} f=\sum_{j\in\Z}(-1)^j\,1_{[j\de,(j+1)\de)} \tag{10}\label{10} \end{equation*} for some real $\de>0$, and $\ell$ is the standard normal density, Then all your conditions hold for some universal constant $c>0$.

Take any $t\in(0,1)$ and note that \begin{equation*} I_t=\int_\R dz\,(1+|z|)E|f(z+hZ)-f(z)|\ell(z+hZ), \end{equation*} where \begin{equation*} h:=\sqrt{2t} \end{equation*} and $Z\sim N(0,1)$. Let \begin{equation*} J_t:=\int_\R dz\,(1+|z|)H(z)\ell(z), \end{equation*} where \begin{equation} H(z):=E|f(z+hZ)-f(z)|. \end{equation} Since $|f|=1$, we get \begin{equation*} |I_t-J_t|\le K_t:=2\int_\R dz\,(1+|z|)E|\ell(z+hZ)-\ell(z)|=2(K_{1,t}+K_{2,t}), \end{equation*} where \begin{equation*} K_{1,t}:=\int_\R dz\,(1+|z|)E|\ell(z+hZ)-\ell(z)|\,1(h|Z|\le1+|z|/2), \end{equation*} \begin{equation*} K_{2,t}:=\int_\R dz\,(1+|z|)E|\ell(z+hZ)-\ell(z)|\,1(h|Z|>1+|z|/2). \end{equation*} Next, \begin{equation*} K_{1,t}\le\int_\R dz\,(1+|z|)Eh|Z|m(z)=Ch, \end{equation*} where $m(z):=\max\{|\ell'(u)|\colon|u|\ge|z|/2-1\}$. Here and in what follows, $C$ denotes various positive universal constants, possibly different even within one expression. Next, \begin{equation*} K_{2,t}\le\int_\R dz\,(1+|z|)E1(h|Z|>1+|z|/2)\le C\sqrt h. \end{equation*} So, \begin{equation*} |I_t-J_t|\le C\sqrt h, \tag{20}\label{20} \end{equation*}

Next, for any real $z$ with $f(z)=-1$, \begin{equation*} H(z)\ge2\sum_{m\in\Z}P(z+hZ\in[2m\de,(2m+1)\de))\to1 \tag{30}\label{30} \end{equation*} uniformly in $z$; here and in what follows, $\de\downarrow0$; \eqref{30} holds because $P(Z-\de\in B)-P(Z\in B)\to0$ uniformly over all Borel subsets $B$ of $\R$.
Using this, we similarly get \begin{equation*} J_t\ge\int_\R dz\,1(f(z)=-1)(1+|z|)(1-o(1))\ell(z)\to A:=\frac12\int_\R dz\,(1+|z|)\ell(z). \end{equation*}

So, by \eqref{20}, \begin{equation*} I_t\ge A-o(1)-C\sqrt h>A/2 \end{equation*} eventually (that is, for all small enough $\de>0$) assuming that $t>0$ is small enough so that $C\sqrt h<A/3$. Assume also that $t>0$ is small enough so that $c_1 t^{\al/2}<A/2$. Then we get a contradiction with the desired inequality $I_t\le c_1 t^{\al/2}$. $\quad\Box$

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  • $\begingroup$ Thank you very much for your detailed answer. The example of $f$ is very illustrative in showing that $h \downarrow 0$ could not make $H(z) \downarrow 0$. This problem is due to the discontinuity of $f$. The smaller $\delta$, the more severe the discontinuity of $f$. $\endgroup$
    – Akira
    Commented Jun 21 at 16:08
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$ \newcommand{\bR}{\mathbb{R}} \newcommand{\bE}{\mathbb{E}} \newcommand{\diff}{\mathop{}\!\mathrm{d}} $ Let $d:=1, Z \sim \mathcal N (0, 1)$ and $\ell := p_1$. We write $M_1 \lesssim M_2$ if there exists a constant $c>0$ (depending only on $f, \ell$) such that $M_1 \le c M_2$. I would like to use $$ | \ell' (x)| \le \sqrt 2 p_2 (x) $$ to give an alternative (and hopefully more direct) proof to Iosif Pinelis's proof of $$ K_t := \int_{\bR} \diff z (1+|z|) \bE [|\ell(hZ+z)- \ell(z)|] \lesssim \sqrt h. $$

By mean value theorem, \begin{align} |\ell(hZ+z)- \ell(z)| &= \bigg | \int_0^1 \ell' (z+shZ)hZ \diff s \bigg | \\ &\lesssim h |Z| \int_0^1 p_2 (z+shZ) \diff s. \end{align}

By Fubini's theorem, \begin{align} K_t &\lesssim h \bE \bigg [ |Z| \int_0^1 \diff s \int_{\bR} \diff z (1+|z|) p_2 (z+shZ) \bigg ] \\ &\lesssim h \bE \bigg [ |Z| \int_0^1 \diff s (1+sh|Z|) \bigg ] \\ &\lesssim h \bE [ |Z|(1+h |Z|) ] \\ &\lesssim h. \end{align}

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