Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem

Walter Schachermayer, Josef Teichmann

Published 2007-11-08Version 1

We prove that $c$-cyclically monotone transport plans $\pi$ optimize the Monge-Kantorovich transportation problem under an additional measurability condition. This measurability condition is always satisfied for finitely valued, lower semi-continuous cost functions. In particular, this yields a positive answer to Problem 2.25 in C. Villani's book. We emphasize that we do not need any regularity conditions as were imposed in the previous literature.