Optimal maps for the multidimensional Monge-Kantorovich problem
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Let \(\mu_1,\dots,\mu_N\) be Borel probability measures on \(\mathbb{R}^d\). Denote by \(\Gamma(\mu_1,\dots,\mu_N)\) the set of all \(N\)-tuples \(T=(T_1,\dots, T_N)\) such that \(T_i:\mathbb{R}^d\to \mathbb{R}^d\) \((i=1,\dots, N)\) are Borel measurable and satisfy \(\mu_1[T_i^{- 1}(V)]= \mu_i[V]\), for all Borel \(V\subset\mathbb{R}^d\). The multidimensional Monge-Kantorovich problem investigated in this paper consists of finding \(S=(S_1,\dots,S_N)\in \Gamma(\mu_1,\dots, \mu_N)\) minimizing \[ I[T]= \sum_{i=1}^N \sum_{j=i+1}^N \int_{\mathbb{R}^d} \frac{|T_i({\mathbf x})- T_j({\mathbf x})|^2} {2}d\mu_1(x) \] over the set \(\Gamma(\mu_1,\dots, \mu_N)\). We study the case where the \(\mu_i\)s have finite second moment and vanish on \((d-1)\)-rectifiable sets. We prove existence and uniqueness of optimal maps \(S\) when we impose that \(S_1({\mathbf x})\equiv {\mathbf x}\), and give an explicit form of the maps \(S_i\). The result is obtained by variational methods and to the best of our knowledge is the first available in the literature in this generality. As a consequence we obtain uniqueness and characterization of an optimal measure for the multidimensional Kantorovich problem.
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