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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2005 Volume 50, Issue 3, Pages 433–456 (Mi tvp87)

This article is cited in 6 papers

Integrability of absolutely continuous measure transformations and applications to optimal transportation

V. I. Bogachev, A. V. Kolesnikov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: Given two Borel probability measures $\mu$ and $\nu$ on $\mathbf{R}^d$ such that $d\nu/d\mu =g$, we consider certain mappings of the form $T(x)=x+F(x)$ that transform $\mu$ into $\nu$. Our main results give estimates of the form $\int_{\mathbf{R}^d}\Phi_1(|F|)\,d\mu\leq\int_{\mathbf{R}^d}\Phi_2(g)\, d\mu$ for certain functions $\Phi_1$ and $\Phi_2$ under appropriate assumptions on $\mu$. Applications are given to optimal mass transportations in the Monge problem.

Keywords: optimal transportation, Gaussian measure, convex measure, logarithmic Sobolev inequality, Poincaré, inequality, Talagrand inequality.

Received: 30.05.2005

DOI: 10.4213/tvp87


 English version:
Theory of Probability and its Applications, 2006, 50:3, 367–385

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