A note on duality theorems in mass transportation (Q2209324)

Let $(\chi,\mathcal{F},\mu)$ and $(Y,G,ν)$ be any probability spaces and $c:\chi\times Y\to R$ a measurable cost function such that $f_1+g_1\leq c\leq f_2+g_2$ for some $f_1,f_2\in L_1(\mu)$ and $g_1,g_2\in L_1(\nu)$. Define $\alpha(c)=\inf_{P}\int cdP$ and $\alpha^*(c)=\sup_{P}\int cdP$, where inf and sup are over the probabilities $P$ on $\mathcal{F}\otimes G$ with marginals $\mu$ and $\nu$. Let \[ L:=\{f+g:f\in L_1(\mu),g\in L_1(\nu)\}. \] Let $c:\chi\times Y\to R$ be an $H$-measurable function satisfying \[ f_1+g_1\leq c\leq f_2+g_2\text{ for some }f_1+g_1\in L\text{ and }f_2+g_2\in L.\tag{*} \] For such a $c$, we define \[ \alpha(c)=\inf\{P(c):P\in\Gamma(\mu,\nu)\}, \alpha^*(c)=\sup\{P(c):P\in\Gamma(\mu,\nu)\},\beta(c)=\sup\{\mu(f)+ν(g):f+g\in L, f+g\leq c\}, \] \[ \beta^*(c)=\inf\{\mu(f)+ν(g):f+g\in L,f+g\geq c\}. \] It is well known that \[ \beta(c)\leq\alpha(c)\leq\alpha^*(c)\leq\beta^*(c). \] A duality theorem for both $\alpha(c)$ and $\alpha^*(c)$ is the assertion that \[ \alpha(c)=\beta(c)\text{ and }\alpha^*(c)=\beta^*(c). \] In this paper, the duality theory (see [\textit{M. Beiglböck} and \textit{W. Schachermayer}, Trans. Am. Math. Soc. 363, No. 8, 4203--4224 (2011; Zbl 1228.49046); \textit{M. Beiglböck} et al., Stud. Math. 209, No. 2, 151--167 (2012; Zbl 1270.49045); \textit{P. Berti} et al., Electron. J. Probab. 20, Paper No. 34, 21 p. (2015; Zbl 1326.60007); Depend. Model. 3, 47--58 (2015; Zbl 1328.60007); \textit{R. Haydon} and \textit{V. Shulman}, Proc. Am. Math. Soc. 124, No. 2, 497--503 (1996; Zbl 0847.28003); \textit{D. Ramachandran} and \textit{L. Rüschendorf}, Theory Probab. Appl. 45, No. 2, 350--356 (2000) and Teor. Veroyatn. Primen. 45, No. 2, 403--409 (2000; Zbl 0978.60004)]) of the Monge-Kantorovich transport problem [\textit{L. Kantorovitch}, C. R. (Dokl.) Acad. Sci. URSS, n. Ser. 37, 199--201 (1942; Zbl 0061.09705)] is investigated in an abstract measure theoretic framework. Some duality theorems for $\alpha(c)$ and $\alpha^*(c)$, not requiring $\mu$ or $\nu$ to be perfect [\textit{G. Koumoullis}, Trans. Am. Math. Soc. 264, 521--537 (1981; Zbl 0469.28010)], are proved. Moreover, in the following theorems the author proves some results on duality, namely, duality holds for both $\alpha(c)$ and $\alpha^*(c)$ if the maps $x\mapsto c(x,y)$ and $y\mapsto c(x,y)$ are continuous, or if $c$ is bounded and $x\mapsto c(x,y)$ is continuous. This improves the existing results in [\textit{D. Ramachandran} and \textit{L. Rüschendorf}, Probab. Theory Relat. Fields 101, No. 3, 311--319 (1995; Zbl 0818.60001)] if $c$ satisfies the quoted conditions and the cardinalities of $\chi$ and $Y$ do not exceed the continuum. Theorem 1: Suppose $c$ satisfies condition $(*)$, the map $x\mapsto c(x,y)$ is continuous for each $y\in Y$ and the map $y\mapsto c(x,y)$ is $G$-measurable for each $x\in \chi$. Then 1) $\alpha^*(c)=\beta^*(c)$ if $c$ is bounded below and $\mu$ is separable; 2) $\alpha(c)=\beta(c)$ if $c$ is bounded above and $\mu$ is separable; 3) $\alpha(c)=\beta(c)$ and $\alpha^*(c)=\beta^*(c)$ if $c$ is bounded and $\mu$ is separable; 4) $\alpha(c)=\beta(c)$ and $\alpha^*(c)=\beta^*(c)$ if all the sections of $c$ are continuous and at least one of $\mu$ and $\nu$ is separable. The roles of $\mu$ and $\nu$ can be interchanged in Theorem 1 and one obtains: Theorem 2: Suppose $c$ satisfies condition $(*)$, the map $x\mapsto c(x,y)$ is $\mathcal{F}$-measurable for each each $y\in Y$ and the map $y\mapsto c(x,y)$ is continuous for each $x\in\mu$. Then 1) $\alpha^*(c)=\beta^*(c)$ if $c$ is bounded below and $\nu$ is separable; 2) $\alpha(c)=\beta(c)$ if $c$ is bounded above and $\nu$ is separable; 3) $\alpha(c)=\beta(c)$ and $\alpha^*(c)=\beta^*(c)$ if $c$ is bounded and $\nu$ is separable. As an example, suppose $\chi$ and $Y$ are metric spaces and $\mu$ is separable. Then, duality holds for $\alpha(c)$ provided $c$ is upper-semicontinuous and for $\alpha^*(c)$ provided $c$ is lower-semicontinuous. Namely, the author gives without proof the following result: Theorem 3: Suppose $c$ satisfies condition $(*)$ and at least one of $\mu$ and $\nu$ is separable. Then, $\alpha^*(c)=\beta^*(c)$ if $c$ is lower-semicontinuous with respect to the product topology on $\chi\times Y$ and $\alpha(c)=\beta(c)$ if $c$ is upper-semicontinuous.