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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2020

Lifted and geometric differentiability of the squared quadratic Wasserstein distance

Résumé

In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance W22(μ,ν) between two probability measures μ and ν with finite second order moments on Rd is the composition of a martingale coupling with an optimal transport map T. We check the existence of an optimal coupling in which this map gives the unique optimal coupling between μ and T#μ. Next, we prove that σ↦W22(σ,ν) is differentiable at μ in the Lions~\cite{Lions} and the geometric senses iff there is a unique optimal coupling between μ and ν and this coupling is given by a map. Besides, we give a self-contained proof that mere Fréchet differentiability of a law invariant function F on L2(Ω,P;Rd) is enough for the Fréchet differential at X to be a measurable function of X.

Dates et versions

hal-01934705 , version 1 (26-11-2018)
hal-01934705 , version 2 (16-11-2020)

Identifiants

Citer

Aurélien Alfonsi, Benjamin Jourdain. Lifted and geometric differentiability of the squared quadratic Wasserstein distance. ESAIM: Probability and Statistics, 2020, ⟨10.1051/ps/2020013⟩. ⟨hal-01934705v1⟩
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