Consider a sequence of sets Dk (k≥1) and for each k consider two functions (x1,…,xk)↦fk(x1,…,xk), (x1,…,xk)↦gk(x1,…,xk) with real values, where (x1,…,xk)∈D1×D2×⋯×Dk. Suppose that for every k there is a real function Fk defined on R such that for every μ∈R and arbitrary a1∈D1,…,ak−1∈Dk−1 one has
xk∈Dksup(μfk(a1,…,ak−1,xk)−gk(a1,…,ak−1,xk))=Fk(μ) fk−1(a1,…,ak−1). (By convention one takes
f0=1.) Show if the sequences of real numbers
(μk) and
(δk) satisfy the conditions
F1(μ1)=0 and
Fk(μk)=δk then one has the inequalities
(μ1−δ2)f1+(μ2−δ3)f2+⋯+(μn−1−δn)fn−1+μnfn≤g1+g2+⋯+gn for all values of
n and of
xk∈Dk.