Proof.
We can find a finite type \mathbf{Z}-subalgebra A' \subset A and a scheme X' separated and of finite presentation over A' whose base change to A is X. See Limits, Lemmas 32.10.1 and 32.8.6. Let x' \in X' be the image of x. If we can prove the lemma for x' \in X'/A', then the lemma follows for x \in X/A. Namely, if U', n', V', Z', z', E' provide the solution for x' \in X'/A', then we can let U \subset X be the inverse image of U', let n = n', let V \subset \mathbf{P}^ n_ A be the inverse image of V', let Z \subset X \times \mathbf{P}^ n be the scheme theoretic inverse image of Z', let z \in Z be the unique point mapping to x, and let E be the derived pullback of E'. Observe that E is pseudo-coherent by Cohomology, Lemma 20.47.3. It only remains to check (5). To see this set W = b^{-1}(U) = c^{-1}(V) and W' = (b')^{-1}(U) = (c')^{-1}(V') and consider the cartesian square
\xymatrix{ W \ar[d]_{(b, c)} \ar[r] & W' \ar[d]^{(b', c')} \\ X \times _ A V \ar[r] & X' \times _{A'} V' }
By Lemma 37.69.1 the schemes X \times _ A V and W' are Tor independent over X' \times _{A'} V'. Hence the derived pullback of (b', c')_*\mathcal{O}_{W'} to X \times _ A V is (b, c)_*\mathcal{O}_ W by Derived Categories of Schemes, Lemma 36.22.5. This also uses that R(b', c')_*\mathcal{O}_{Z'} = (b', c')_*\mathcal{O}_{Z'} because (b', c') is a closed immersion and similarly for (b, c)_*\mathcal{O}_ Z. Since E'|_{U' \times _{A'} V'} = (b', c')_*\mathcal{O}_{W'} we obtain E|_{U \times _ A V} = (b, c)_*\mathcal{O}_ W and (5) holds. This reduces us to the situation described in the next paragraph.
Assume A is of finite type over \mathbf{Z}. Choose an affine open neighbourhood U \subset X of x. Then U is of finite type over A. Choose a closed immersion U \to \mathbf{A}^ n_ A and denote j : U \to \mathbf{P}^ n_ A the immersion we get by composing with the open immersion \mathbf{A}^ n_ A \to \mathbf{P}^ n_ A. Let Z be the scheme theoretic closure of
(\text{id}_ U, j) : U \longrightarrow X \times _ A \mathbf{P}^ n_ A
Since the projection X \times \mathbf{P}^ n \to X is separated, we conclude from Morphisms, Lemma 29.6.8 that b : Z \to X is an isomorphism over U. Let z \in Z be the unique point lying over x.
Let Y \subset \mathbf{P}^ n_ A be the scheme theoretic closure of j. Then it is clear that Z \subset X \times _ A Y is the scheme theoretic closure of (\text{id}_ U, j) : U \to X \times _ A Y. As X is separated, the morphism X \times _ A Y \to Y is separated as well. Hence we see that Z \to Y is an isomorphism over the open subscheme j(U) \subset Y by the same lemma we used above. Choose V \subset \mathbf{P}^ n_ A open with V \cap Y = j(U). Then we see that (3) and (4) hold.
Because A is Noetherian we see that X and X \times _ A \mathbf{P}^ n_ A are Noetherian schemes. Hence we can take E = (b, c)_*\mathcal{O}_ Z in this case, see Derived Categories of Schemes, Lemma 36.10.3. This finishes the proof.
\square
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