English

On existence of measure with given marginals supported on a hyperplane

Probability 2020-10-15 v1 Functional Analysis

Abstract

Let {μk}k=1N\{\mu_k\}_{k = 1}^N be absolutely continuous probability measures on the real line such that every measure μk\mu_k is supported on the segment [lk,rk][l_k, r_k] and the density function of μk\mu_k is nonincreasing on that segment for all kk. We prove that if E(μ1)++E(μN)=C\mathbb{E}(\mu_1) + \dots + \mathbb{E}(\mu_N) = C and if rklkC(l1++lN)r_k - l_k \le C - (l_1 + \dots + l_N) for all kk, then there exists a transport plan with given marginals supported on the hyperplane {x1++xN=C}\{x_1 + \dots + x_N = C\}. This transport plan is an optimal solution of the multimarginal Monge-Kantorovich problem for the repulsive harmonic cost function i,j=1N(xixj)2\sum_{i, j = 1}^N-(x_i - x_j)^2.

Keywords

Cite

@article{arxiv.2010.07263,
  title  = {On existence of measure with given marginals supported on a hyperplane},
  author = {Alexander P. Zimin},
  journal= {arXiv preprint arXiv:2010.07263},
  year   = {2020}
}

Comments

28 pages, 1 figure