Monotone Measure-Preserving Maps in Hilbert Spaces: Existence, Uniqueness, and Stability

arXiv2305.11751MaRDI QIDQ6437232FDOQ6437232

Marc Hallin, Alberto González Sanz, Bodhisattva Sen

Publication date: 19 May 2023

Abstract: The contribution of this work is twofold. The first part deals with a Hilbert-space version of McCann's celebrated result on the existence and uniqueness of monotone measure-preserving maps: given two probability measures $mP$ and $mQ$ on a separable Hilbert space $mathcalH$ where $mP$ does not give mass to "small sets" (namely, Lipschitz hypersurfaces), we show, without imposing any moment assumptions, that there exists a gradient of convex function $ablapsi$ pushing $mP$ forward to $mQ$. In case $mathcalH$ is infinite-dimensional, $mP$-a.s. uniqueness is not guaranteed, though. If, however, $mQ$ is boundedly supported (a natural assumption in several statistical applications), then this gradient is $mP$ a.s. unique. In the second part of the paper, we establish stability results for transport maps in the sense of uniform convergence over compact "regularity sets". As a consequence, we obtain a central limit theorem for the fluctuations of the optimal quadratic transport cost in a separable Hilbert space.

Mathematics Subject Classification ID

Optimal transportation (49Q22)

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