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How to prove that $f(x) := |x|^{\frac{\lambda - n}{p}}(1 - \psi(x))$ satisfies a specific property related to its limit at the origin

Disclaimer. I have asked this question a month ago on MSE (click here to access the original post) and even bountied it. I got an answer on MSE, but unfortunately I don't feel like it has enough ...
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