Duality and Perfect Probability Spaces
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چکیده
Given probability spaces (Xi,Ai, Pi), i = 1, 2, let M(P1, P2) denote the set of all probabilities on the product space with marginals P1 and P2 and let h be a measurable function on (X1 × X2,A1 ⊗ A2). Continuous versions of linear programming stemming from the works of Monge (1781) and Kantorovich-Rubinštein (1958) for the case of compact metric spaces are concerned with the validity of the duality sup{ ∫ h dP : P ∈ M(P1, P2)}
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تاریخ انتشار 1996