Existence, Duality, and Cyclical monotonicity for weak transport costs (1809.05893v3)

Abstract: The optimal weak transport problem has recently been introduced by Gozlan et.\ al. We provide general existence and duality results for these problems on arbitrary Polish spaces, as well as a necessary and sufficient optimality criterion in the spirit of cyclical monotonicity. As an application we extend the Brenier-Strassen Theorem of Gozlan-Juillet to general probability measures on $R^d$ under minimal assumptions. A driving idea behind our proofs is to consider the set of transport plans with a new (`adapted') topology which seems better suited for the weak transport problem and allows to carry out arguments which are close to the proofs in the classical setup.