arXiv Analytics

Sign in

arXiv:math/0403497 [math.PR]AbstractReferencesReviewsResources

Solution of the Monge-Ampere Equation on Wiener Space for log-concave measures

D. Feyel, A. S. Ustunel

Published 2004-03-29Version 1

In this work we prove that the unique 1-convex solution of the Monge problem contructed from the solution of the Monge-Kantorovitch problem between the Wiener measure and a target measure which has a log-concave density w.r.to the Wiener measure is also the strong solution of the Monge-Ampere equation in the frame of infinite dimensional Frechet spaces. We enhance also the polar factorization results of the mappings which transform a spread measure to another one of finite Wasserstein distance. Finally we calculate the semimartingale decomposition of the transport process with respect to its natural filtration and make the connection between the curved Brownian motion and the polar decomposition of the corresponding shifts.

Related articles: Most relevant | Search more
arXiv:0903.3891 [math.PR] (Published 2009-03-23)
Entropy, Invertibility and Variational Calculus of the Adapted Shifts on Wiener space
arXiv:1206.5415 [math.PR] (Published 2012-06-23, updated 2015-03-06)
On fractional smoothness and $L_p$-approximation on the Gaussian space
arXiv:1409.5322 [math.PR] (Published 2014-09-18)
Decoupling on the Wiener space and applications to BSDEs