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Working paper

Optimal transportation of processes with infinite Kantorovich distance. Independence and symmetry.

Kolesnikov A., Zaev D.
We consider probability measures on $\mathbb{R}^{\infty}$ and study natural analogs of optimal transportation mappings for the case of infinite Kantorovich distance. Our examples include 1) quasi-product measures, 2) measures with certain symmetric properties, in particular, exchangeable and stationary measures. It turns out that the existence problem for optimal transportation is closely related to various ergodic properties. We prove the existence of optimal transportation for a certain class of stationary Gibbs measures. In addition, we establish a variant of the Kantorovich duality for the Monge--Kantorovich problem restricted to the case of measures invariant with respect of actions of compact groups.