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The capture range is determined by the difference between the free-running frequency of the VCO, the input frequency and the bandwith of the loop filter. Simply said this difference has to become small enough so that it can fall within the BW of the low-pass loop filter. That is, you sweep the input frequency from let's say 0Hz toward the free running frequency of VCO and once they become sufficiently close so that their difference is within the passband of the filter the PLL is driven into lock i.e. captures the input frequency. The essential thing here is that the PLL is not locked initially and then becomes locked.
The lock (or tracking) range is defined by having the PLL already locked i.e. the VCO output is locked to the input frequency. Now if you slowly sweep the input frequency, the PLL is able to track it and stay in lock. This is so because the difference between the VCO frequency (possibly divided) and the input frequency is very small (very close to 0Hz) and has no problems passing through the loop filter and controlling the VCO. In this situation the PLL stays in lock for as long as the VCO is able to oscillate at frequencies far enough from its center frequency. That's why this range is larger than the capture range.
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