Dept. Math, Hokkaido Univ. EPrints Server

A Simple Proof of Duality Theorem for Monge-Kantorovich Problem

Preprint Series # 677
Mikami, Toshio A Simple Proof of Duality Theorem for Monge-Kantorovich Problem. (2004);

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Abstract

We give a simple proof of the duality theorem for the Monge-Kantorovich problem in the Euclidean setting. The selection lemma which is useful in the theory of stochastic optimal controls plays a crucial role.

Item Type:Preprint
Subjects:60-xx PROBABILITY THEORY AND STOCHASTIC PROCESSES
ID Code:644