Existence, duality, and cyclical monotonicity for weak transport costs

DOI10.1007/S00526-019-1624-YzbMATH Open1469.60125arXiv1809.05893OpenAlexW2982967720WikidataQ126851982 ScholiaQ126851982MaRDI QIDQ2334532FDOQ2334532

Authors: Julio D. Backhoff Veraguas, Mathias Beiglböck, Gudmund Pammer 

Publication date: 7 November 2019

Published in: Calculus of Variations and Partial Differential Equations (Search for Journal in Brave)

Abstract: The optimal weak transport problem has recently been introduced by Gozlan et. al. We provide general existence and duality results for these problems on arbitrary Polish spaces, as well as a necessary and sufficient optimality criterion in the spirit of cyclical monotonicity. As an application we extend the Brenier-Strassen Theorem of Gozlan-Juillet to general probability measures on $R^d$ under minimal assumptions. A driving idea behind our proofs is to consider the set of transport plans with a new (`adapted') topology which seems better suited for the weak transport problem and allows to carry out arguments which are close to the proofs in the classical setup.

Full work available at URL: https://arxiv.org/abs/1809.05893

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Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Martingales with discrete parameter (60G42) Duality theory (optimization) (49N15) Variational principles in infinite-dimensional spaces (58E30)

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