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arxiv: 1902.05763 · v1 · pith:H5RYZZMLnew · submitted 2019-02-15 · 🧮 math.PR · math.OC

Weak monotone rearrangement on the line

classification 🧮 math.PR math.OC
keywords weakgeometriclinemonotoneoptimalrearrangementtransportalfonsi
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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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