1. The Fundamental Theorem of Weak Optimal Transport
- Author
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Beiglböck, Mathias, Pammer, Gudmund, Riess, Lorenz, and Schrott, Stefan
- Subjects
Mathematics - Probability ,Mathematics - Optimization and Control - Abstract
The fundamental theorem of classical optimal transport establishes strong duality and characterizes optimizers through a complementary slackness condition. Milestones such as Brenier's theorem and the Kantorovich-Rubinstein formula are direct consequences. In this paper, we generalize this result to non-linear cost functions, thereby establishing a fundamental theorem for the weak optimal transport problem introduced by Gozlan, Roberto, Samson, and Tetali. As applications we provide concise derivations of the Brenier--Strassen theorem, the convex Kantorovich--Rubinstein formula and the structure theorem of entropic optimal transport. We also extend Strassen's theorem in the direction of Gangbo--McCann's transport problem for convex costs. Moreover, we determine the optimizers for a new family of transport problems which contains the Brenier--Strassen, the martingale Benamou--Brenier and the entropic martingale transport problem as extreme cases.
- Published
- 2025