Proof.
During this proof we will use without further mention that for a closed immersion $i : Z \to X$ the functor $i_*$ gives an equivalence between the category of coherent modules on $Z$ and coherent modules on $X$ annihilated by the ideal sheaf of $Z$, see Cohomology of Spaces, Lemma 69.12.8. In particular we think of
\[ \textit{Coh}_{\text{support proper over } A}(\mathcal{O}_{X_ e}) \subset \textit{Coh}_{\text{support proper over } A}(\mathcal{O}_ X) \]
as the full subcategory of consisting of modules annihilated by $\mathcal{K}^ e$ and
\[ \textit{Coh}_{\text{support proper over } A}(X_ e, \mathcal{I}_ e) \subset \textit{Coh}_{\text{support proper over } A}(X, \mathcal{I}) \]
as the full subcategory of objects annihilated by $\mathcal{K}^ e$. Moreover (1) tells us these two categories are equivalent under the completion functor (76.42.5.1).
Applying this equivalence we get a coherent $\mathcal{O}_ X$-module $\mathcal{G}_ e$ annihilated by $\mathcal{K}^ e$ corresponding to the system $(\mathcal{F}_ n/\mathcal{K}^ e\mathcal{F}_ n)$ of $\textit{Coh}_{\text{support proper over } A}(X, \mathcal{I})$. The maps $\mathcal{F}_ n/\mathcal{K}^{e + 1}\mathcal{F}_ n \to \mathcal{F}_ n/\mathcal{K}^ e\mathcal{F}_ n$ correspond to canonical maps $\mathcal{G}_{e + 1} \to \mathcal{G}_ e$ which induce isomorphisms $\mathcal{G}_{e + 1}/\mathcal{K}^ e\mathcal{G}_{e + 1} \to \mathcal{G}_ e$. We obtain an object $(\mathcal{G}_ e)$ of the category $\textit{Coh}_{\text{support proper over } A}(X, \mathcal{K})$. The map $\alpha $ induces a system of maps
\[ \mathcal{F}_ n/\mathcal{K}^ e\mathcal{F}_ n \longrightarrow \mathcal{H}/(\mathcal{I}^ n + \mathcal{K}^ e)\mathcal{H} \]
whence maps $\mathcal{G}_ e \to \mathcal{H}/\mathcal{K}^ e\mathcal{H}$ (by the equivalence of categories again). Let $t \geq 1$ be an integer, which exists by assumption (2), such that $\mathcal{K}^ t$ annihilates the kernel and cokernel of all the maps $\mathcal{F}_ n \to \mathcal{H}/\mathcal{I}^ n\mathcal{H}$. Then $\mathcal{K}^{2t}$ annihilates the kernel and cokernel of the maps $\mathcal{F}_ n/\mathcal{K}^ e\mathcal{F}_ n \to \mathcal{H}/(\mathcal{I}^ n + \mathcal{K}^ e)\mathcal{H}$ (details omitted; see Cohomology of Schemes, Remark 30.25.1). Whereupon we conclude that $\mathcal{K}^{4t}$ annihilates the kernel and the cokernel of the maps
\[ \mathcal{G}_ e \longrightarrow \mathcal{H}/\mathcal{K}^ e\mathcal{H}, \]
(details omitted; see Cohomology of Schemes, Remark 30.25.1). We apply Lemma 76.42.8 to obtain a coherent $\mathcal{O}_ X$-module $\mathcal{F}$, a map $a : \mathcal{F} \to \mathcal{H}$ and an isomorphism $\beta : (\mathcal{G}_ e) \to (\mathcal{F}/\mathcal{K}^ e\mathcal{F})$ in $\textit{Coh}(X, \mathcal{K})$. Working backwards, for a given $n$ the triple $(\mathcal{F}/\mathcal{I}^ n\mathcal{F}, a \bmod \mathcal{I}^ n, \beta \bmod \mathcal{I}^ n)$ is a triple as in the lemma for the morphism $\alpha _ n \bmod \mathcal{K}^ e : (\mathcal{F}_ n/\mathcal{K}^ e\mathcal{F}_ n) \to (\mathcal{H}/(\mathcal{I}^ n + \mathcal{K}^ e)\mathcal{H})$ of $\textit{Coh}(X, \mathcal{K})$. Thus the uniqueness in Lemma 76.42.8 gives a canonical isomorphism $\mathcal{F}/\mathcal{I}^ n\mathcal{F} \to \mathcal{F}_ n$ compatible with all the morphisms in sight.
To finish the proof of the lemma we still have to show that the support of $\mathcal{F}$ is proper over $A$. By construction the kernel of $a : \mathcal{F} \to \mathcal{H}$ is annihilated by a power of $\mathcal{K}$. Hence the support of this kernel is contained in the support of $\mathcal{G}_1$. Since $\mathcal{G}_1$ is an object of $\textit{Coh}_{\text{support proper over } A}(\mathcal{O}_{X_1})$ we see this is proper over $A$. Combined with the fact that the support of $\mathcal{H}$ is proper over $A$ we conclude that the support of $\mathcal{F}$ is proper over $A$ by Derived Categories of Spaces, Lemma 75.7.6.
$\square$
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