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Optimal transport and the geometry of L1(Rd)

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11-07-22-Schachermaye.pdf (179.9Kb)
Date
2014
Dewey
Probabilités et mathématiques appliquées
Sujet
Transport
Journal issue
Proceedings of the American Mathematical Society
Volume
142
Publication date
2014
Article pages
3585-3596
Publisher
AMS
DOI
http://dx.doi.org/10.1090/S0002-9939-2014-12094-6
URI
https://basepub.dauphine.fr/handle/123456789/14889
Collections
  • CEREMADE : Publications
Metadata
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Author
Ekeland, Ivar
Schachermayer, Walter
Type
Article accepté pour publication ou publié
Abstract (EN)
A classical theorem due to R. Phelps states that if $ C$ is a weakly compact set in a Banach space $ E$, the strongly exposing functionals form a dense subset of the dual space $ E^{\prime }$. In this paper, we look at the concrete situation where $ C\subset L^{1}(\mathbb{R}^{d})$ is the closed convex hull of the set of random variables $ Y\in L^{1}(\mathbb{R}^{d})$ having a given law $ \nu $. Using the theory of optimal transport, we show that every random variable $ X\in L^{\infty }(\mathbb{R}^{d})$, the law of which is absolutely continuous with respect to the Lebesgue measure, strongly exposes the set $ C$. Of course these random variables are dense in $ L^{\infty }(\mathbb{R}^{d})$

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