[guided]We must show $\sigma$ satisfies the geodesic ODE on its domain. The strategy is: identify $\dot\sigma$ as a rescaling of a known geodesic velocity, apply the chain rule for the covariant derivative along a reparametrised curve, and use the geodesic equation for $\gamma_p(\cdot, a)$ to conclude.
The key tool is the **chain rule for the covariant derivative along a reparametrised curve**. If $\beta: J \to M$ is a smooth curve and $\phi: J' \to J$ is a smooth map, then for any smooth lift $V$ of $\beta$,
\begin{align*}
\frac{\nabla(V \circ \phi)}{dt}(t) &= \phi'(t)\, \frac{\nabla V}{ds}(\phi(t)). \tag{CR}
\end{align*}
Why the single factor $\phi'(t)$? In a chart with frame, both sides have components
\begin{align*}
\dot V_i(\phi(t))\, \phi'(t) + \sum_{j,k} \Gamma_{jk}^i(\beta(\phi(t)))\, V_j(\phi(t))\, \dot \beta_k(\phi(t))\, \phi'(t).
\end{align*}
The factor $\phi'(t)$ multiplies *both* the time-derivative of the lift (ordinary chain rule on $V \circ \phi$) and the velocity of the underlying curve in the Christoffel-symbol term (since $\frac{d}{dt} \beta_k(\phi(t)) = \dot\beta_k(\phi(t))\, \phi'(t)$). Both scalings collapse into the clean prefactor $\phi'(t)$ on the right-hand side.
Now we set up the application. By $(*)$,
\begin{align*}
\dot\sigma(t) = \lambda\, \dot\gamma_p(\lambda t, a),
\end{align*}
so $\dot\sigma$ is **not** simply $V \circ \phi$: there is an extra factor of $\lambda$ from differentiating $\gamma_p(\lambda t, a)$ in $t$. Set $\beta(s) := \gamma_p(s, a)$, $\phi(t) := \lambda t$ (so $\phi'(t) = \lambda$), and $V(s) := \dot\gamma_p(s, a)$. Then $\dot\sigma = \lambda \cdot (V \circ \phi)$. This factor of $\lambda$ is **passive** — it floats out of the covariant derivative by $\mathbb{R}$-linearity (axiom 1 of the [Covariant Derivative Along a Curve](/theorems/2708)):
\begin{align*}
\frac{\nabla \dot\sigma}{dt}(t) = \lambda\, \frac{\nabla(V \circ \phi)}{dt}(t).
\end{align*}
Now apply (CR) to the term $\frac{\nabla(V \circ \phi)}{dt}$. Here $\phi'(t) = \lambda$ is the **active** chain-rule factor — it is multiplicative because of the reparametrisation:
\begin{align*}
\frac{\nabla(V \circ \phi)}{dt}(t) &= \phi'(t) \cdot \frac{\nabla V}{ds}(\phi(t)) = \lambda \cdot \frac{\nabla \dot\gamma_p(\cdot, a)}{ds}(\lambda t).
\end{align*}
Combining the passive and active factors,
\begin{align*}
\frac{\nabla \dot\sigma}{dt}(t) = \lambda^2 \cdot \frac{\nabla \dot\gamma_p(\cdot, a)}{ds}(\lambda t).
\end{align*}
The $\lambda^2$ is morally because the geodesic equation is **second-order**: under $t \mapsto \lambda t$, velocity scales by $\lambda$, acceleration by $\lambda^2$. The right-hand side is "acceleration" — it scales by $\lambda^2$. Since the original right-hand side is zero, this scaling is harmless.
Finally we use that $\gamma_p(\cdot, a)$ is a geodesic by construction, so
\begin{align*}
\frac{\nabla \dot\gamma_p(\cdot, a)}{ds}(s) = 0 \qquad \text{for all } s \in I_a.
\end{align*}
The substitution $s = \lambda t$ takes values in $I_a$ exactly when $t \in \tfrac{1}{\lambda} I_a$ — which is precisely the domain of $\sigma$. Substituting,
\begin{align*}
\frac{\nabla \dot\sigma}{dt}(t) = \lambda^2 \cdot 0 = 0 \qquad \text{for all } t \in \tfrac{1}{\lambda} I_a.
\end{align*}
Hence $\sigma$ satisfies the geodesic equation on its entire domain.[/guided]