On the Monge–Kantorovich problem with additional linear constraints

Abstract

The Monge–Kantorovich problem with the following additional constraint is considered: the admissible transportation plan must become zero on a fixed subspace of functions. Different subspaces give rise to different additional conditions on transportation plans. The main results are stated in general form and can be carried over to a number of important special cases. They are also valid for the Monge–Kantorovich problem whose solution is sought for the class of invariant or martingale measures. We formulate and prove a criterion for the existence of an optimal solution, a duality assertion of Kantorovich type, and a necessary geometric condition on the support of the optimal measure similar to the standard condition for c-monotonicity.