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The Centred Heat Gauge on the Wasserstein Space

The centred heat gauge of two square-integrable probability measures is the square root of the squared Euclidean distance of their means plus the squared heat gauge of their centred versions.

Statement

In the setting of Square-Integrable Vector Fields Against a Probability Measure on Euclidean Space, and Test Functions: Standing Notation, let m(μ)m(\mu) be the mean and μˉ\bar{\mu} the centred measure of μ∈P2(Rd)\mu\in\mathcal{P}_{2}(\mathbb{R}^{d}), an element of P2(Rd)\mathcal{P}_{2}(\mathbb{R}^{d}) by that clause, and let ϱ\varrho be the heat gauge on P(Rd)\mathcal{P}(\mathbb{R}^{d}), read in dimension q=dq=d; t\sqrt{t} is the nonnegative square root of a nonnegative real number tt.

(The centred heat gauge) The centred heat gauge on P2(Rd)\mathcal{P}_{2}(\mathbb{R}^{d}) is the function

ρ:P2(Rd)×P2(Rd)→R,ρ(μ,ν)=∥m(μ)−m(ν)∥2+ϱ(μˉ,νˉ)2 ,\rho:\mathcal{P}_{2}(\mathbb{R}^{d})\times\mathcal{P}_{2}(\mathbb{R}^{d})\to\mathbb{R},\qquad \rho(\mu,\nu)=\sqrt{\lVert m(\mu)-m(\nu)\rVert^{2}+\varrho(\bar{\mu},\bar{\nu})^{2}}\ ,

the radicand being a nonnegative real number.

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