Stochastic Monge-Kantorovich problem and its duality

Xicheng Zhang

doi:10.1080/17442508.2011.624627

Stochastic Monge-Kantorovich problem and its duality

Xicheng Zhang^*

^*此作品的通讯作者

Wuhan University

科研成果: 期刊稿件 › 文章 › 同行评审

9 引用（Scopus）

摘要

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 is also discussed.

源语言	英语
页（从-至）	71-84
页数	14
期刊	Stochastics
卷	85
期	1
DOI	https://doi.org/10.1080/17442508.2011.624627
出版状态	已出版 - 2月 2013
已对外发布	是

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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 is also discussed.",

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AB - 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 is also discussed.

KW - Monge-Kantorovich problem

KW - Wasserstein metric

KW - measurable selection

KW - optimal transference plan

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DO - 10.1080/17442508.2011.624627

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Stochastic Monge-Kantorovich problem and its duality

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