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NEW YORK—To borrow a phrase from the neighboring New York Mets, Ya gotta believe.

Jessica Pegula did that, and even took a one-set lead over world No. 1 and frequent tormentor Aryna Sabalenka. But belief ultimately wasn't enough against her opponent's bold barrage Thursday night in Arthur Ashe Stadium.

"She came up with some ridiculous shots," said Pegula in her post-match press conference. "Like, I didn't feel like I did much wrong. So, yeah, it seemed like the level was really high, and we were pushing each other every single game."

Under constant attack, the fourth-ranked American battled in every set, often from deficits. It was admirable, if futile.

"She played incredible tennis as always," Sabalenka said after her 4-6, 6-3, 6-4 victory, sending the defending US Open champion to her third consecutive final in Flushing Meadows. "She's just a great player, great fighter—always tough matches."

The 31-year-old American had lost her last three collisions with the three-time Grand Slam champion, all in massive finals, including at last year on this court. She had lost seven of nine meetings overall, all in straight sets. But ignoring the past, Pegula locked in on the present. And as a result, this match was the most competitive and compelling of their rivalry.

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It didn't appear to be heading in that direction from the onset. Sabalenka was in complete command of her service games and took a brisk, 4-2 first-set lead. The pressure on Pegula to take care of her service games was enormous.

Then, a plot twist: Pegula broke. Yes, it was via Sabalenka double fault, but a break is a break. Then Pegula held at love—and broke again. Now she led 5-4.

Riding the wave of momentum, Pegula held another time at love to cap an unexpected four-game run. The crowd, which included plenty if a minority of Sabalenka support, responded.

"The crowd was insane, as always," Pegula said. "Arthur Ashe, 7:00 p.m., there is no place better to play as an American. So that's something that was really fun. The atmosphere is incredible, like always."

Pegula needed two things, in my mind, to make an upset possible: a fast start, and the crowd to become a factor. Two boxes checked, one set down.

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Pegula served brilliantly, winning 71 percent of her first serves—just one percentage point behind Sabalenka—and 62 percent of her second-serve points. But only converting two break points proved pivotal.

Pegula served brilliantly, winning 71 percent of her first serves—just one percentage point behind Sabalenka—and 62 percent of her second-serve points. But only converting two break points proved pivotal.

But none of it fazed Sabalenka, who at 27 may still be approaching her peak. Once again, she took a 4-2 lead. This time, she followed with an easy hold.

Emblematic of the entire match, Pegula didn't go away, forcing the best out of her opponent. It took Sabalenka three set points, but she took this semifinal to a third set.

"It maybe dipped a little bit in the second," Pegula said of her serve. "I mean, she served a lot better in the second, as well.

"Then I felt like it was really even in the third."

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When Sabalenka took a 2-0 lead in the decider, the pressure on Pegula's serve somehow intensified. She answered the call repeatedly: she won 18 of 22 points on serve in the third set (9 of 11 on both first and second serves), including love holds at 1-2, 2-4 and 3-5. Considering the circumstances, it was one of the finest serving displays of her entire carerer.

Pegula would also reach break point four times.

Sabalenka didn't blink.

"The first game, unfortunately, ended up being the difference, but after that I was holding really easily and I felt like just putting so much pressure on her serve every single time," Pegula said. "I thought I served so much better than when I played her last time."

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The only time Sabalenka did blink was on her first match point: Scrambling behind the baseline, Pegula hit a defensive lob to keep her chances alive. They remained so when Sabalenka bashed an overhead into the net.

"I was super emotional," Sabalenka said about the miss, which brought the upon the biggest crowd reaction of the night. "I was just, like, 'Oh, my gosh, no way it's happening. Please, just close this match.'"

Why was Sabalenka so emotional? As she told TENNIS.com's David Kane, "Because I badly wanted to give myself another opportunity, another final, and I want to prove to myself that I learned those tough lessons and I can do better in the finals."

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The whole match I just keep telling myself, into the next one, just one step at a time, don't worry about the past. Just try better in the next point. Aryna Sabalenka

But while Sabalenka gave Pegula a lifeline, she didn't give away much else. The Buffalo, N.Y. native saved a second match point with a crisp backhand Sabalenka couldn't handle, but she not earn another break point.

"I thought it was really high-level," said Pegula of the match at large. "I don't really know what else to say. I don't know how I didn't break back in the third."

Like the second set, Pegula pushed Sabalenka to a third set—and match—point. Once again, the third time was a charm for Sabalenka.

And now, she's into her third consecutive US Open final.

"I think I really played great tennis," Sabalenka said. "I think I handled that pressure really well.

"I'm super proud of this win."