Abstract
Let (W,μ,H) be an abstract Wiener space assume two ν i ,i=1,2 probabilities on (W,ℬ(W)). We give some conditions for the Wasserstein distance between ν1 and ν2 with respect to the Cameron-Martin space to be finite, where the infimum is taken on the set of probability measures β on W×W whose first and second marginals are ν1 and ν2. In this case we prove the existence of a unique (cyclically monotone) map T=I W +ξ, with ξ:W→H, such that T maps ν1 to ν2. Moreover, if ν2≪μ, then T is stochastically invertible, i.e., there exists S:W→W such that S○T=I W ν1 a.s. and T○S=I W ν2 a.s. If, in addition, ν1=μ, then there exists a 1-convex function φ in the Gaussian Sobolev space such that ξ=∇φ. These results imply that the quasi-invariant transformations of the Wiener space with finite Wasserstein distance from μ can be written as the composition of a transport map T and a rotation, i.e., a measure preserving map. We give also 1-convex sub-solutions and Ito-type solutions of the Monge-Ampère equation on W.
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cf. Theorem 6.1 for the precise hypothesis about ν1 and ν2.
In fact this hypothesis is too strong, cf. Theorem 6.1.
Mathematics Subject Classification (2000): 60H07, 60H05,60H25, 60G15, 60G30, 60G35, 46G12, 47H05, 47H1, 35J60, 35B65, 35A30, 46N10, 49Q20, 58E12, 26A16, 28C20
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Feyel, D., Üstünel, A. Monge-Kantorovitch Measure Transportation and Monge-Ampère Equation on Wiener Space. Probab. Theory Relat. Fields 128, 347–385 (2004). https://doi.org/10.1007/s00440-003-0307-x
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DOI: https://doi.org/10.1007/s00440-003-0307-x