Weak monotone rearrangement on the line
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Publication:2183117
DOI10.1214/20-ECP292zbMATH Open1447.60047arXiv1902.05763OpenAlexW3008099678MaRDI QIDQ2183117FDOQ2183117
Authors: Yanyan Li 
Publication date: 26 May 2020
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: Weak optimal transport has been recently introduced by Gozlan et al. The original motivation stems from the theory of geometric inequalities; further applications concern numerics of martingale optimal transport and stability in mathematical finance. In this note we provide a complete geometric characterization of the 'weak' version of the classical monotone rearrangement between measures on the real line, complementing earlier results of Alfonsi, Corbetta, and Jourdain.
Full work available at URL: https://arxiv.org/abs/1902.05763
Recommendations
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Discrete-time Markov processes on general state spaces (60J05)
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