Proof.
Let \mathcal{K} be as in (2). By Lemma 56.5.7 the functor F given by (56.5.1.1) is exact and k-linear. Moreover, F sends \textit{Coh}(\mathcal{O}_ X) into \textit{Coh}(\mathcal{O}_ Y) for example by Cohomology of Schemes, Lemma 30.26.10.
Let us construct the quasi-inverse to the construction. Let F be as in (1). By Lemma 56.7.1 we can extend F to a k-linear exact functor on the categories of quasi-coherent modules which commutes with arbitrary direct sums. By Lemma 56.5.7 the extension corresponds to a unique quasi-coherent module \mathcal{K}, flat over X, such that R^ q\text{pr}_{2, *}(\text{pr}_1^*\mathcal{F} \otimes _{\mathcal{O}_{X \times Y}} \mathcal{K}) = 0 for q > 0 for all quasi-coherent \mathcal{O}_ X-modules \mathcal{F}. Since F(\mathcal{O}_ X) is a coherent \mathcal{O}_ Y-module, we conclude from Lemma 56.5.11 that \mathcal{K} is coherent.
For a closed point x \in X denote \mathcal{O}_ x the skyscraper sheaf at x with value the residue field of x. We have
F(\mathcal{O}_ x) = \text{pr}_{2, *}(\text{pr}_1^*\mathcal{O}_ x \otimes \mathcal{K}) = (x \times Y \to Y)_*(\mathcal{K}|_{x \times Y})
Since x \times Y \to Y is finite, we see that the pushforward along this morphism is faithful. Hence if y \in Y is in the image of the support of \mathcal{K}|_{x \times Y}, then y is in the support of F(\mathcal{O}_ x).
Let Z \subset X \times Y be the scheme theoretic support Z of \mathcal{K}, see Morphisms, Definition 29.5.5. We first prove that Z \to Y is quasi-finite, by proving that its fibres over closed points are finite. Namely, if the fibre of Z \to Y over a closed point y \in Y has dimension > 0, then we can find infinitely many pairwise distinct closed points x_1, x_2, \ldots in the image of Z_ y \to X. Since we have a surjection \mathcal{O}_ X \to \bigoplus _{i = 1, \ldots , n} \mathcal{O}_{x_ i} we obtain a surjection
F(\mathcal{O}_ X) \to \bigoplus \nolimits _{i = 1, \ldots , n} F(\mathcal{O}_{x_ i})
By what we said above, the point y is in the support of each of the coherent modules F(\mathcal{O}_{x_ i}). Since F(\mathcal{O}_ X) is a coherent module, this will lead to a contradiction because the stalk of F(\mathcal{O}_ X) at y will be generated by < n elements if n is large enough. Hence Z \to Y is quasi-finite. Since \text{pr}_{2, *}\mathcal{K} is coherent and R^ q\text{pr}_{2, *}\mathcal{K} = 0 for q > 0 we conclude that Z \to Y is finite by Lemma 56.7.4.
\square
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