Optimal transportation of processes with infinite Kantorovich distance: independence and symmetry

DOI10.1215/21562261-3821819MaRDI QIDQ2359435zbMATH OpenOpenAlexFDO

Authors Danila A. Zaev, Alexander V. Kolesnikov

Publication date 28 June 2017

Published in Kyoto Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.7255

zbMATH Keywords

entropyergodicityexchangeabilityGaussian measuresGibbs measuresKantorovich dualityKullback-Leibler distancelog-concave measuresMonge-Kantorovich problemoptimal transportationstationaritytransportation inequalities

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Existence theories for problems in abstract spaces (49J27) Variational problems in a geometric measure-theoretic setting (49Q20) Optimal stochastic control (93E20)

Abstract: We consider probability measures on $mathbb{R}^{infty}$ and study optimal transportation mappings for the case of infinite Kantorovich distance. Our examples include 1) quasi-product measures, 2) measures with certain symmetric properties, in particular, exchangeable and stationary measures. We show in the latter case that existence problem for optimal transportation is closely related to ergodicity of the target measure. In particular, we prove existence of the symmetric optimal transportation for a certain class of stationary Gibbs measures.

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(7)

• The multistochastic Monge-Kantorovich problem
• On continuity equations in infinite dimensions with non-Gaussian reference measure
• On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals
• Optimal transport maps on infinite dimensional spaces
• On ergodic decompositions related to the Kantorovich problem
• On the Monge-Kantorovich problem with additional linear constraints
• Exchangeable optimal transportation and log-concavity

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