A duality theorem on a pair of simultaneous functional equations

Given P and Q convex compact sets in R^kandR^s, respectively, and u a continuous real valued function on P × Q, we consider the following pair of dual problems: Problem I—Minimize ? so that ?: $\text{P × Q → R}\text{and}\text{? ?}\text{Cav}{}_{\mathrm{p}}\text{Vex}{}_{\mathrm{q}}\text{×}\text{max}\text{(u, ?)}$. Problem II—Maximize g so that g: P × Q → R and g ? Vex_q × Cav_pmin(u, g). Here Cav_p is the operation of concavification of a function with respect to the variable p?P (for each fixed q?Q). Similarly, Vex_q is the operation of convexification with respect to q?Q. Maximum and minimum are taken here in the partial ordering of pointwise comparison: $\text{? ? g}\text{means}\text{?(p, q) ? g(p, q) ?(p, q) ? P × Q}$. It is proved here that both problems have the same solution which is also the unique simultaneous solution of the following pair of functional equations: (i) $\text{? =}\text{Vex}{}_{\mathrm{q}}\text{max}\text{(u, ?)}$. (ii) $\text{? =}\text{Cav}{}_{\mathrm{p}}\text{min}\text{(u, ?)}$. The problem arises in game theory, but the proof here is purely analytical and makes no use of game-theoretical concepts.