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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2015 Volume 20(36), Issue 2, Pages 54–62 (Mi thsp102)

Exchangeable optimal transportation and log-concavity

Alexander V. Kolesnikov, Danila A. Zaev

Higher School of Economics, Moscow, Russia

Abstract: We study the Monge and Kantorovich transportation problems on $\mathbb{R}^{\infty}$ within the class of exchangeable measures. With the help of the de Finetti decomposition theorem the problem is reduced to an unconstrained optimal transportation problem on a Hilbert space. We find sufficient conditions for convergence of finite-dimensional approximations to the Monge solution. The result holds, in particular, under certain analytical assumptions involving log-concavity of the target measure. As a by-product we obtain the following result: any uniformly log-concave exchangeable sequence of random variables is i.i.d.

Keywords: Optimal transportation, log-concave measures, exchangeable measures, de Finetti theorem, Caffarelli contraction theorem.

MSC: Primary 28C20, 90C08; Secondary 35J96

Language: English



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