Monge-Kantorovitch measure transportation and Monge-Ampère equation on Wiener space

DOI10.1007/s00440-003-0307-xzbMath1055.60052OpenAlexW2027611691MaRDI QIDQ1434090

Ali Süleyman Üstünel, Denis Feyel

Publication date: 1 July 2004

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-003-0307-x

zbMATH Keywords

Wasserstein metricMalliavin calculusMonge-Ampère equationGirsanov theoremWiener spaceItô calculustransport inequalitiesMonge-Kantorovitch problem

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Variational problems in a geometric measure-theoretic setting (49Q20) Stochastic calculus of variations and the Malliavin calculus (60H07) Measures and integration on abstract linear spaces (46G12) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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