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Regular version of the site

Article

Exchangeable optimal transportation and log-concavity

Theory of Stochastic Processes. 2015. Vol. 20(36). No. 2. P. 54-62.
Kolesnikov A., Zaev D.

We study the Monge and Kantorovich transportation problems on R∞R∞ within the class of exchangeable measures. With the help of the de Finetti decomposition theorem the problem is reduced to an unconstrained optimal transportation problem on a Hilbert space. We find sufficient conditions for convergence of finite-dimensional approximations to the Monge solution. The result holds, in particular, under certain analytical assumptions involving log-concavity of the target measure. As a by-product we obtain the following result: any uniformly log-concave exchangeable sequence of random variables is i.i.d.