Smooth transport map via diffusion process

Abstract: We extend the classical regularity theory of optimal transport to non-optimal transport maps generated by heat flow for perturbations of Gaussian measures. Considering probability measures of the form $d\mu(x) = \exp\left(-\frac{|x|^2}{2} + a(x)\right)dx$ on $\mathbb{R}^d$ where $a$ has H\"older regularity $C^\beta$ with $\beta\geq 0$; we show that the Langevin map transporting the $d$-dimensional Gaussian distribution onto $\mu$ achieves H\"older regularity $C^{\beta + 1}$, up to a logarithmic factor. We additionally present applications of this result to functional inequalities and generative modelling.