Weak monotone rearrangement on the line
Probability
2019-02-18 v1 Optimization and Control
Abstract
Weak optimal transport has been recently introduced by Gozlan et al. The original motivation stems from the theory of geometric inequalities; further applications concern numerics of martingale optimal transport and stability in mathematical finance. In this note we provide a complete geometric characterization of the 'weak' version of the classical monotone rearrangement between measures on the real line, complementing earlier results of Alfonsi, Corbetta, and Jourdain.
Keywords
Cite
@article{arxiv.1902.05763,
title = {Weak monotone rearrangement on the line},
author = {Julio Backhoff-Veraguas and Mathias Beiglböck and Gudmund Pammer},
journal= {arXiv preprint arXiv:1902.05763},
year = {2019}
}
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