A simple proof of duality theorem for Monge-Kantorovich problem

DOI10.2996/KMJ/1143122381MaRDI QIDQ2494618zbMATH OpenOpenAlexFDO

Authors Toshio Mikami

Publication date 14 July 2006

Published in Kodai Mathematical Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2115/69482

zbMATH Keywords

dualityMonge-Kantorovich problemselection lemma

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Review text

This short note presents a very simple proof of the duality theorem for the Monge-Kantorovich problem in finite dimensions. The proof relies on the Legendre duality of a lower semicontinuous convex function of Borel probability measures and on an well known selection lemma.

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