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2020 Weak monotone rearrangement on the line
Julio Backhoff-Veraguas, Mathias Beiglböck, Gudmund Pammer
Electron. Commun. Probab. 25: 1-16 (2020). DOI: 10.1214/20-ECP292

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.

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Julio Backhoff-Veraguas. Mathias Beiglböck. Gudmund Pammer. "Weak monotone rearrangement on the line." Electron. Commun. Probab. 25 1 - 16, 2020. https://doi.org/10.1214/20-ECP292

Information

Received: 5 March 2019; Accepted: 22 January 2020; Published: 2020
First available in Project Euclid: 21 February 2020

zbMATH: 1447.60047
MathSciNet: MR4069738
Digital Object Identifier: 10.1214/20-ECP292

Subjects:
Primary: 60E15, 60G42, 60J05

JOURNAL ARTICLE
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