Kantorovich duality for general transport costs and applications

DOI10.1016/J.JFA.2017.08.015zbMATH Open1406.60032arXiv1412.7480OpenAlexW2963942532MaRDI QIDQ2407214FDOQ2407214

N. Gozlan, Prasad Tetali, P.-M. Samson, C. Roberto

Publication date: 29 September 2017

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: We introduce a general notion of transport cost that encompasses many costs used in the literature (including the classical one and weak transport costs introduced by Talagrand and Marton in the 90's), and prove a Kantorovich type duality theorem. As a by-product we obtain various applications in different directions: we give a short proof of a result by Strassen on the existence of a martingale with given marginals, we characterize the associated transport-entropy inequalities together with the log-Sobolev inequality restricted to convex/concave functions. Some explicit examples of discrete measures satisfying weak transport-entropy inequalities are also given.

Full work available at URL: https://arxiv.org/abs/1412.7480

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zbMATH Keywords

metric spacesdualitylogarithmic-Sobolev inequalitiestransport inequalities

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Inequalities; stochastic orderings (60E15) Inequalities involving derivatives and differential and integral operators (26D10) Analytical consequences of geometric convexity (vanishing theorems, etc.) (32F32)

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Cited In (61)

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