The Fundamental Theorem of Weak Optimal Transport

TL;DR

This paper extends the fundamental theorem of optimal transport to weak and non-linear cost functions, providing new theoretical insights and applications in various transport problems.

Contribution

It generalizes the fundamental theorem to weak optimal transport with non-linear costs and derives several key results and extensions in the field.

Findings

Established a fundamental theorem for weak optimal transport.

Derived concise proofs of key theorems like Brenier--Strassen.

Identified optimizers for a new family of transport problems.

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.