A strong duality principle for equivalence couplings and total variation

DOI10.1214/23-EJP1016zbMATH Open1528.60009arXiv2207.14239OpenAlexW4388411953MaRDI QIDQ6136822FDOQ6136822

Adam Quinn Jaffe

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We introduce and study a notion of strong duality for two classes of optimization problems commonly occurring in probability theory. That is, on an abstract measurable space $(Omega,mathcalF)$, we say that an equivalence relation $E$ on $Omega$ satisfies ``strong duality if $E$ is $(mathcalFotimesmathcalF)$-measurable and if there exists a sub-$sigma$-algebra $mathcalG$ of $mathcalF$ such that for all probability measures $mathbbP,mathbb{P}^{\prime }$ on $(Omega,mathcalF)$ we have [ sup_{Ainmathcal{G}}vert mathbb{P}(A)-mathbb{P}'(A)vert = min_{ ilde{mathbb{P}}inGamma(mathbb{P},mathbb{P}')}(1- ilde{mathbb{P}}(E)), ] where $Gamma(mathbbP,mathbb{P}^{\prime })$ denotes the space of couplings of $mathbbP$ and $mathbb{P}^{\prime }$, and where ``min asserts that the infimum is in fact achieved. The results herein, which can be seen as a surprising extension of Kantorovich duality to a class of irregular costs, give wide sufficient conditions for strong duality to hold. These conditions allow us to recover many classical results and to prove novel results in stochastic calculus, random sequence simulation, and point process theory.

Full work available at URL: https://arxiv.org/abs/2207.14239

zbMATH Keywords

total variationoptimal transportcouplingdualitysmoothnessequivalence relationKantorovich dualityBorel equivalence relationhypersmoothness

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Descriptive set theory (03E15) Duality theory (optimization) (49N15) Measures and integrals in product spaces (28A35) Probabilistic measure theory (60A10)

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Cited In (2)

• Some duality results for equivalence couplings and total variation
• Constructing maximal germ couplings of Brownian motions with drift

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