On the Real Line an Atomless Source is Uniquely Mapped, by a Nondecreasing Optimal Map
theoremAnalysisProbabilitythm:monotone-optimal-map-line-2026aFor an atomless measure with finite second moment on the real line and any second measure with finite second moment, there is an optimal map that is nondecreasing on a Borel set of full measure, and every optimal coupling is induced by it.
In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, in dimension . As in Borel Sigma-Algebra on Euclidean Space and the preamble of Pairs of Euclidean Points: Coordinate Projections, Pairings, the Product Measure on a Euclidean Space, Borel Norm Functions and Finite Sets, the real line is identified with the Euclidean space , a point of being read as its sole coordinate, so that , , and , and the Euclidean distance of is the absolute-value metric by The Euclidean Distance on the Real Line is the Absolute Value Metric.
Let belong to the set of probability measures with finite second moment and suppose that is atomless.
1. (A nondecreasing optimal map)¶ There are a set with and a Borel map such that for all with , such that for every , and such that is an optimal map from to .
2. (Unique mapping)¶ The ordered pair is uniquely mapped.
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