Solution of the Monge-Kantorovich problem for a class of functionals.

MaRDI QIDQ1432187zbMATH OpenFDO

Authors P. S. Ruzankin

Publication date 15 June 2004

Published in Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

Monge-Kantarovich problem

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05)

Review text

The functional \(\rho(t, P, Q)=\inf_{\xi, \eta}P(r(\xi, \eta)>t)\) is considered, where the infimum is taken over all random variables \(\xi\) and \(\eta\) given on the same probability space and having distributions \(P\) and \(Q\), respectively, and where \(r\) is certain kernel function. The main result determines the value of \(\rho(t, P, Q).\) The construction of a corresponding closest random variable is also included.

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