Stochastic Monge-Kantorovich Problem and its Duality
Probability
2010-02-12 v3
Abstract
In this article we prove the existence of a stochastic optimal transference plan for a stochastic Monge-Kantorovich problem by measurable selection theorem. A stochastic version of Kantorovich duality and the characterization of stochastic optimal transference plan are also established. Moreover, Wasserstein distance between two probability kernels are discussed too.
Keywords
Cite
@article{arxiv.1001.0094,
title = {Stochastic Monge-Kantorovich Problem and its Duality},
author = {Xicheng Zhang},
journal= {arXiv preprint arXiv:1001.0094},
year = {2010}
}
Comments
12pages