2025/01/27 by Mathias Beiglböck, Beiglböck, Mathias, Gudmund Pammer +5 · 3 citations
Economics, Econometrics and Finance · Business, Management and Accounting · Mathematics · #Stochastic processes and financial applications #Advanced Queuing Theory Analysis #Spectral Theory in Mathematical Physics
paper · pdf · doi:10.48550/arxiv.2501.16316
The fundamental theorem of classical optimal transport establishes strong duality and characterizes optimizers through a complementary slackness condition. Milestones such as Brenier's theorem and the Kantorovich-Rubinstein formula are direct consequences. In this paper, we generalize this result to non-linear cost functions, thereby establishing a fundamental theorem for the weak optimal transport problem introduced by Gozlan, Roberto, Samson, and Tetali. As applications we provide concise derivations of the Brenier--Strassen theorem, the convex Kantorovich--Rubinstein formula and the structure theorem of entropic optimal transport. We also extend Strassen's theorem in the direction of Gangbo--McCann's transport problem for convex costs. Moreover, we determine the optimizers for a new family of transport problems which contains the Brenier--Strassen, the martingale Benamou--Brenier and the entropic martingale transport problem as extreme cases.