TheoremBase

On the Real Line an Atomless Source is Uniquely Mapped, by a Nondecreasing Optimal Map

For 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.

Statement

In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, in dimension d=1d=1. 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 R\mathbb{R} is identified with the Euclidean space R1\mathbb{R}^{1}, a point of R1\mathbb{R}^{1} being read as its sole coordinate, so that B(R1)=B(R)\mathcal{B}(\mathbb{R}^{1})=\mathcal{B}(\mathbb{R}), P(R1)=P(R)\mathcal{P}(\mathbb{R}^{1})=\mathcal{P}(\mathbb{R}), P2(R1)=P2(R)\mathcal{P}_{2}(\mathbb{R}^{1})=\mathcal{P}_{2}(\mathbb{R}) and R1+1=R2\mathbb{R}^{1+1}=\mathbb{R}^{2}, and the Euclidean distance of R1\mathbb{R}^{1} is the absolute-value metric by R1\mathbb{R}^1 with the Euclidean Distance Is Isometric to the Real Line.

Let μ,ν\mu,\nu belong to the set P2(R)\mathcal{P}_{2}(\mathbb{R}) of probability measures with finite second moment and suppose that μ\mu is atomless.

1. (A nondecreasing optimal map) There are a set E∈B(R)E\in\mathcal{B}(\mathbb{R}) with μ(E)=1\mu(E)=1 and a Borel map T:R→RT:\mathbb{R}\to\mathbb{R} such that T(x)≤T(x′)T(x)\le T(x') for all x,x′∈Ex,x'\in E with x≤x′x\le x', such that T(x)=0T(x)=0 for every x∈R∖Ex\in\mathbb{R}\setminus E, and such that TT is an optimal map from μ\mu to ν\nu.

2. (Unique mapping) The ordered pair (μ,ν)(\mu,\nu) is uniquely mapped.

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