Notes on the Wasserstein Metric in Hilbert Spaces
Cuesta, Juan Antonio ; Matran, Carlos
Ann. Probab., Tome 17 (1989) no. 4, p. 1264-1276 / Harvested from Project Euclid
Let $(X, Y)$ be a pair of Hilbert-valued random variables for which the Wasserstein distance between the marginal distributions is reached. We prove that the mapping $\omega \rightarrow (X(\omega), Y(\omega))$ is increasing in a certain sense. Moreover, if $Y$ satisfies a nondegeneration condition, we can take $X = T(Y)$ with $T$ monotone in the sense of Zarantarello. We apply these results to obtain a proof of the central limit theorem (CLT) in Hilbert spaces which does not make use of the CLT for real-valued random variables.
Publié le : 1989-07-14
Classification:  Wasserstein distance,  representation theorem,  Hilbert spaces,  central limit theorem,  60E05,  60B12
@article{1176991269,
     author = {Cuesta, Juan Antonio and Matran, Carlos},
     title = {Notes on the Wasserstein Metric in Hilbert Spaces},
     journal = {Ann. Probab.},
     volume = {17},
     number = {4},
     year = {1989},
     pages = { 1264-1276},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991269}
}
Cuesta, Juan Antonio; Matran, Carlos. Notes on the Wasserstein Metric in Hilbert Spaces. Ann. Probab., Tome 17 (1989) no. 4, pp.  1264-1276. http://gdmltest.u-ga.fr/item/1176991269/