ggplot italicize part of caption AND divide text over two lines

Question

I like to add the following caption to my graph:

Note: Market concentration averages in the United States, United Kingdom, and the Netherlands are, respectively, 1920, 1388, and 1244

Where 'Note:' needs to be italicized, and 'Netherlands are, respectively, 1920, 1388, and 1244' should be placed on a new line.

Using the paste function, I can italize a part. But using the \n within paste, mixes every thing up as you can see here (this is an edited image, made using Paul's advice below):

I tried various other solutions, but without succes. Here is the code I am using:

library(ggplot2)

note = expression(paste(italic("Note: "), "Market concentration averages in the United States, United Kingdom, and the \nNetherlands are, respectively, 1920, 1388, and 1244"))

gg <- ggplot(mtcars, aes(wt, mpg)) + geom_point()+

# Title
labs(caption=note)

gg + theme(plot.caption=element_text(size=7.5, hjust=0, margin=margin(t=15)))

Answer 1

Based on this answer,

library(grid)
library(ggplot2)


ggplot(iris, aes(Sepal.Length, Sepal.Width)) +
  geom_line() + 
  labs(caption= "First~line \n italic('and a second,')~bold('fancy one') \n
       'also,'~integral(f(x)*dx, a, b)~'for good measure'")+
  (theme_grey() %+replace% theme(plot.caption = element_custom()))

element_custom <- function() {
  structure(list(), class = c("element_custom", "element_text"))
}

element_grob.element_custom <- function(element, label="", ...)  {
  disect <- strsplit(label, "\\n")[[1]]
  labels <- lapply(disect, function(x) tryCatch(parse(text=x), 
                                                error = function(e) x))
  hl <-  unit(rep(1, length(labels)), 'strheight', data=labels) + unit(0.1,"line")
  yl <- c(list(unit(0,"line")), 
          lapply(seq_along(labels[-length(labels)]), function(ii) sum(hl[1:ii])))

  cl <- do.call(gList, Map(function(label, ii) 
    textGrob(label, y = unit(1,"npc")-yl[[ii]], hjust=0, x=0, vjust=1), 
    label = labels, ii = seq_along(labels)))

  gTree(children = cl, cl="sl", heights = hl, gp=gpar(col="grey50",fontsize=8))
}

heightDetails.sl <- function(x) sum(x$heights)