×

The Monge problem in Banach spaces. (English) Zbl 1120.49041

Let \(E\) be Köthe space, \((M, d)\) be a Polish space, and \(P\), \(Q\) two Borel probabilities on \(M\). Let \((P|Q)\) denote the family of probabilities on \(M^2\) whose marginals are respectively \(P\) and \(Q\) and \(E[X]\) and \({\mathcal L}[X]\) be the expectation and probability distribution of a random variable \(X\). Let \(c: M\times M\to\mathbb{R}^+\) be a cost function. The functional \[ (P, Q)\to{\mathcal W}_c(P, Q)= \inf\{E[c(X, Y)],{\mathcal L}[(X,Y)]\in (P|Q)\} \] is Kantorovich functional, and represents a cost of the transport from \(P\) to \(Q\). In this paper the Kantorovich functional is generalized to Köthe spaces. The Köthe functional \({\mathcal I}_{c,E}\) is defined by \[ {\mathcal I}_{c,E}(P, Q)= \inf\{\| c(X, Y)\|,{\mathcal L}[(X, Y)]\in (P|Q)\}. \] The Monge problem is in finding conditions assuring the existence of a function \(\phi: M\to M\) such that if \({\mathcal L}[X]= P\), then \({\mathcal L}[\phi(X)]= P\) and \({\mathcal W}(P, Q)= E[c(X,\phi(X))]\).
The main aim of the paper is to solve the Monge problem for the Köthe functional.

MSC:

49Q20 Variational problems in a geometric measure-theoretic setting
60B05 Probability measures on topological spaces
60B11 Probability theory on linear topological spaces
Full Text: DOI

References:

[1] Abdellaoui T., Heinich H. (1994). Sur la distance de deux lois de probabilités dans le cas vectoriel. C.R. Acad. Sci. Paris, Série 1 319: 981–984 · Zbl 0808.60008
[2] Abdellaoui T., Heinich H. (1999). Caractérisation d’une solution optimale au probléme de Monge-Kantorovich. Bull. Soci. Math. Fr. 127(3): 429–443 · Zbl 0940.60013
[3] Belili N. (1999). Dualité du problème des marges et ses applications. Séminaire de Probabilités. 13, Lect. Notes Math. 1709: 371–387 · Zbl 0949.62011 · doi:10.1007/BFb0096527
[4] Belili N., Heinich H. (1999). Mass transport problem and derivation. Appl. Math. 23(3): 299–314 · Zbl 0998.60012
[5] Bickel P.J., Freedman D.A. (1981). Some asymptotic theory for boostrap. Ann. Stat. 9: 1196–1217 · doi:10.1214/aos/1176345637
[6] Birkhoff, G. (1979). Lattice Theory, AMS Colloquim publishers, North Holland, vol. 25.
[7] Blackwell D., Dubins L.E. (1983). An extention of Skorohod’ almost sure representation theorem. Proc. Am. Math. Soc. 89, 691–692 · Zbl 0542.60005
[8] Brenier Y. (1987). Décomposition polaire et réarrangement monotone des champs de vecteurs. C. R. Acad. Sci. Paris, Série 1 305: 329–343
[9] Bru B., Heinich H. (1981). Isométries positives et propriétés ergodiques de quelques espaces de Banach. Ann. Inst. H. Poincaré 17, 377–405 · Zbl 0471.46018
[10] Bru B., Heinich H. (1985). Meilleures approximations et médianes conditionnelles. Ann. Inst. H. Poincaré 21, 197–224 · Zbl 0576.41018
[11] Bru, B., Heinich, H., and Lootgieter, J.-C. (1993). Distances de Lévy et extensions des théorèmes de la limite centrale et de Glivenko-Cantelli. Pub. Inst. Stat. Univ. Paris, XXXVII. fasc. (3–4), 29–42.
[12] Bru B., Heinich H. (1989). Applications de dualité dans les espaces de Köthe. Stud. Math. 43, 41–69 · Zbl 0691.46018
[13] Cuesta-Albertos J.A., Matrán C. (1989). Notes on the Wasserstein metric in Hilbert spaces. Ann. Probab. 17: 1264–1276 · Zbl 0688.60011 · doi:10.1214/aop/1176991269
[14] Cuesta-Albertos J.A., Tuero-Diaz A. (1993). A characterization for the solution of Monge-Kantorowich mass transference problem. Stat. Probab. Lett. 16, 147–152 · Zbl 0765.60010 · doi:10.1016/0167-7152(93)90159-G
[15] Cuesta-Albertos J.A., Matrán C., Rachev S.T., Rüschendorf L. (1996). Mass transportation problems in probability theory. Math. Scientist 21, 34–72 · Zbl 0860.60083
[16] Dellacherie C., Meyer P.A. (1983). Probabilités et Potentiel. Herman, Paris · Zbl 0526.60001
[17] Dudley R.M. (1968). Distances of probability measures and random variables. Ann. Math. Stat. 39, 1563–1572 · Zbl 0169.20602
[18] Gangbo W., McCann R.J. (1996). The geometry of optimal transportation. Acta. Math. 177, 113–161 · Zbl 0887.49017 · doi:10.1007/BF02392620
[19] Gangbo W., Świech A. (1998). Optimal maps for the multidimensional problem. Pure Appl. Math. LI, 23–45 · Zbl 0889.49030 · doi:10.1002/(SICI)1097-0312(199801)51:1<23::AID-CPA2>3.0.CO;2-H
[20] Heinich H., Lootgieter J. -C. (1996). Convergence des functions monotones. C. R. Acad. Sci. Paris, Série 1 322, 869–874 · Zbl 0849.60027
[21] Knott M., Smith C.S. (1994). On a generalization of cyclic monotonicity and distances among random vectors. Linear Algebr. Appl. 199, 367–371 · Zbl 0796.60022 · doi:10.1016/0024-3795(94)90359-X
[22] Krasnosel’ski M.A., Rutickil Y.B. (1961). Convex Function and Orlicz Spaces. Noordhoff, Gronigen
[23] Lindenstrauss J., Tzafriri L. (1996). Classical Banach Spaces. Springer, Berlin · Zbl 0852.46015
[24] Monge, G. (1781). Mémoire sur la théorie des déblais et des remblais. Histoires de l’Académie Royale des Sciences de Paris, avec les mémoires de Mathématiques et de Physique, 257–263.
[25] Rachev S.T., Rüschendorf L. (1998). Mass Transportation Problems. Springer, New York · Zbl 0990.60500
[26] Rockafellar R.T. (1972). Convex Analysis. Princeton University Press, Princeton · Zbl 0224.49003
[27] Rüschendorf L. (1991). Fréchet-bounds and their applications. In: Dall’Aglio G., Kotz S., Salinetti G. (eds), Advances in Probability Measures with Given Marginals. Kluwer Academic Publishers, Dordrecht, pp. 151–188
[28] Rüschendorf L. (1995). Optimal solutions of multivariate coupling problems. Appl. Math. 23, 325–338 · Zbl 0844.62047
[29] Rüschendorf L. (1996). On c-optimal random variables. Stat. Probab. Lett. 27, 267–270 · Zbl 0847.62046 · doi:10.1016/0167-7152(95)00078-X
[30] Rüschendorf L., Uckelmann L. (2002). On the n-coupling problem. J. Mult. Anal. 81(2): 242–258 · Zbl 1011.62052 · doi:10.1006/jmva.2001.2005
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.