转移概率最优可测耦合的存在性.pdfVIP

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W MR(1991) F 60H15 E O121 On the Existence of the Optimal Measurable Coupling of Transition Probablity Zhang Shaoyi Xu Kan (Department of Mathematics, Hubei Normal University, Huangshi 435002, China) Abstract In this paper, by the method of stochastic linear programming and some skill in s-space, we give a proof for the existence of the optimal measurable coupling of transition probability. Keywords Transition probability, Coupling, Optimal measurable coupling 1991 MR Subject Classification 60H05 Chinese Library Classification O121 1 qP (E , E ) (k = 1, 2) kCeP(E ×E , E ×E ) kCPP k k k 1 2 1 2 P gP CtgnP FiP (B ×E ) = P (B ) B ∈ E , P (E ×B ) = P (B ), 1 2 1 2 1 1 1 1 1 2 2 2 B ∈ E . P g P Ct K (P , P ). 2 2 1 2 1 2 1.1 q P , P (E, ρ, E ) kCeP 1 2 W (P , P ) = inf ρ(E , η)P (dξ, dη) 1 2 P ∈K (P1 ,P2 ) g P1 g P2 C KRW , P ) w ρ(ξ, η)P (dξ, dη) = W (P , P ) r P g P C ρ hn P ∈ K (P1 2 1 2 P 1 2 tt tCRSndf KRW LexyOyKMS 1.1 Ct [1] nC . dfW 1995-08