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Exchangeable optimal transportation and log-concavity
Alexander V. Kolesnikov, Danila A. Zaev Higher School of Economics, Moscow, Russia
Abstract:
We study the Monge and Kantorovich transportation problems on $\mathbb{R}^{\infty}$ within the class of exchangeable measures. With the help of the de Finetti decomposition theorem the problem is reduced to an unconstrained optimal transportation problem on a Hilbert space. We find sufficient conditions for convergence of finite-dimensional approximations to the Monge solution. The result holds, in particular, under certain analytical assumptions involving log-concavity of the target measure. As a by-product we obtain the following result: any uniformly log-concave exchangeable sequence of random variables is i.i.d.
Keywords:
Optimal transportation, log-concave measures, exchangeable measures, de Finetti theorem, Caffarelli contraction theorem.
Citation:
Alexander V. Kolesnikov, Danila A. Zaev, “Exchangeable optimal transportation and log-concavity”, Theory Stoch. Process., 20(36):2 (2015), 54–62
Linking options:
https://www.mathnet.ru/eng/thsp102 https://www.mathnet.ru/eng/thsp/v20/i2/p54
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