Monge-Kantorovitch measure transportation and Monge-Ampère equation on Wiener space (Q1434090): Difference between revisions

The authors of this deep paper -- which shows a fascinating and wide mathematical spectrum -- study and compare the solutions of the infinite-dimensional Monge-Kantorovitch and the Monge minimization problems in the framework of an abstract Wiener space with a singular quadratic cost function. This function (which takes the value \(\infty\) ``very often'' due to its discontinuity conditions), plays a fundamental role not only in Itô calculus, but also in physics, quantum chemistry and the theory of large deviations. Since the square root of the infimum in the Monge-Kantorovitch problem (PMK) appears as the Wasserstein metric with respect to the Cameron-Martin-Hilbert space, the authors first embed their whole investigations into the framework of a functional analysis on the Wiener space (the Malliavin calculus) and ask then for controls of the Wasserstein metric (Sections 2 and 3). Theorem 3.1, their main result in Section 3, extends an inequality of M. Talagrand and reveals a sufficient condition for the Wasserstein metric to be finite. The authors provide a direct and lucid proof by using change of measure techniques including Girsanov's theorem for the Wiener process -- techniques which are well-known for being very fruitful in mathematical finance! Then the authors ask for conditions which lead to unique solutions of the minimization problems of Monge-Kantorovitch and Monge and study their interrelationship. First, in Section 4, the authors directly solve the original Monge minimization problem (PM) under the assumption that the second measure is given with a density (Theorem 3.1\,!). Here, in addition to the use of Malliavin calculus techniques, tools from convex analysis such as the Fenchel-Legendre duality enable a lucid proof of Theorem 4.1, the central result in Section 4. Implications of the existence and uniqueness of the solutions of PMK and PM are derived in Section 5. Secondly, by using a different approach (like cyclic monotonicity), the authors prove the existence and uniqueness of the solutions of PMK and PM for general measures which are at finite Wasserstein distance from each other. Section 7 studies the Monge-Ampère equation for measures which are absolutely continuous with respect to the Wiener measure. By using (the natural renormalization of) Itô calculus including Itô's representation theorem and the Itô-Clark formula of Malliavin calculus, the authors obtain a strong solution of the Monge-Ampère equation in the Itô sense.