I am following these notes and I am stuck on going from equation (37) to (38). In a nutshell, given $$ \frac{d \tilde{\rho}(t)}{dt} =-i\alpha[\tilde{H}_I(t),\tilde{\rho}(t)], \quad (*) $$ where $\tilde{A}$ is an operator in the interaction picture with $H_T=H_0+\alpha H_I$. This equation has the standard solution $$ \tilde{\rho}(t) = \tilde{\rho}_0-i\alpha\int_0^tds [\tilde{H}_I(s),\tilde{\rho}(s)]. $$ We can iterate $(*)$ with the above definition to yield $$ \frac{d \tilde{\rho}(t)}{dt} =-i\alpha[\tilde{H}_I(t),\tilde{\rho}_0]-\alpha^2 \int_0^tds [\tilde{H}_I(s),[\tilde{H}_I(s),\tilde{\rho}(s)]]. $$ One wishes to eliminate the dependance of $\rho$ on all previous times so we take advantage that $\alpha$ is assumed small to iterate infinitely, obtaining $$ \frac{d \tilde{\rho}(t)}{dt} =-i\alpha[\tilde{H}_I(t),\tilde{\rho}_0]-\alpha^2 \int_0^tds [\tilde{H}_I(s),[\tilde{H}_I(s),{\tilde{\rho}(t)}]] +\mathcal{O}(\alpha^3), \quad (**) $$ where now the integral doesnt integrate $\rho$ for all times.
That is what I don’t understand, I expected $(**)$ to be instead $$ \frac{d \tilde{\rho}(t)}{dt} =-i\alpha[\tilde{H}_I(t),\tilde{\rho}_0]-\alpha^2 \int_0^tds [\tilde{H}_I(s),[\tilde{H}_I(s),{\tilde{\rho}_0}]] +\mathcal{O}(\alpha^3), $$ why isn’t this the case?