Proof.
Our definition of composition of morphisms of sites implies that u_ b \circ u_ a = u_ c whenever c = a \circ b in \mathcal{I}. The formula \mathcal{C} = \mathop{\mathrm{colim}}\nolimits \mathcal{C}_ i means that \mathop{\mathrm{Ob}}\nolimits (\mathcal{C}) = \mathop{\mathrm{colim}}\nolimits \mathop{\mathrm{Ob}}\nolimits (\mathcal{C}_ i) and \text{Arrows}(\mathcal{C}) = \mathop{\mathrm{colim}}\nolimits \text{Arrows}(\mathcal{C}_ i). Then source, target, and composition are inherited from the source, target, and composition on \text{Arrows}(\mathcal{C}_ i). In this way we obtain a category. Denote u_ i : \mathcal{C}_ i \to \mathcal{C} the obvious functor. Remark that given any finite diagram in \mathcal{C} there exists an i such that this diagram is the image of a diagram in \mathcal{C}_ i.
Let \{ U^ t \to U\} be a covering of \mathcal{C}. We first prove that if V \to U is a morphism of \mathcal{C}, then U^ t \times _ U V exists. By our remark above and our definition of coverings, we can find an i, a covering \{ U_ i^ t \to U_ i\} of \mathcal{C}_ i and a morphism V_ i \to U_ i whose image by u_ i is the given data. We claim that U^ t \times _ U V is the image of U^ t_ i \times _{U_ i} V_ i by u_ i. Namely, for every a : j \to i in \mathcal{I} the functor u_ a is continuous, hence u_ a(U^ t_ i \times _{U_ i} V_ i) = u_ a(U^ t_ i) \times _{u_ a(U_ i)} u_ a(V_ i). In particular we can replace i by j, if we so desire. Thus, if W is another object of \mathcal{C}, then we may assume W = u_ i(W_ i) and we see that
\begin{align*} & \mathop{\mathrm{Mor}}\nolimits _\mathcal {C}(W, u_ i(U^ t_ i \times _{U_ i} V_ i)) \\ & = \mathop{\mathrm{colim}}\nolimits _{a : j \to i} \mathop{\mathrm{Mor}}\nolimits _{\mathcal{C}_ j}(u_ a(W_ i), u_ a(U^ t_ i \times _{U_ i} V_ i)) \\ & = \mathop{\mathrm{colim}}\nolimits _{a : j \to i} \mathop{\mathrm{Mor}}\nolimits _{\mathcal{C}_ j}(u_ a(W_ i), u_ a(U^ t_ i)) \times _{\mathop{\mathrm{Mor}}\nolimits _{\mathcal{C}_ j}(u_ a(W_ i), u_ a(U_ i))} \mathop{\mathrm{Mor}}\nolimits _{\mathcal{C}_ j}(u_ a(W_ i), u_ a(V_ i)) \\ & = \mathop{\mathrm{Mor}}\nolimits _\mathcal {C}(W, U^ t) \times _{\mathop{\mathrm{Mor}}\nolimits _\mathcal {C}(W, U)} \mathop{\mathrm{Mor}}\nolimits _\mathcal {C}(W, V) \end{align*}
as filtered colimits commute with finite limits (Categories, Lemma 4.19.2). It also follows that \{ U^ t \times _ U V \to V\} is a covering in \mathcal{C}. In this way we see that axiom (3) of Definition 7.6.2 holds.
To verify axiom (2) of Definition 7.6.2 let \{ U^ t \to U\} _{t \in T} be a covering of \mathcal{C} and for each t let \{ U^{ts} \to U^ t\} be a covering of \mathcal{C}. Then we can find an i and a covering \{ U^ t_ i \to U_ i\} _{t \in T} of \mathcal{C}_ i whose image by u_ i is \{ U^ t \to U\} . Since T is finite we may choose an a : j \to i in \mathcal{I} and coverings \{ U^{ts}_ j \to u_ a(U^ t_ i)\} of \mathcal{C}_ j whose image by u_ j gives \{ U^{ts} \to U^ t\} . Then we conclude that \{ U^{ts} \to U\} is a covering of \mathcal{C} by an application of axiom (2) to the site \mathcal{C}_ j.
We omit the proof of axiom (1) of Definition 7.6.2.
\square
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