The Monge-Kantorovich problem on Wasserstein space

Abstract: We consider the Monge-Kantorovich problem between two random measuress. More precisely, given probability measures $$\mathbb{P}_1,\mathbb{P}_2\in\mathcal{P}(\mathcal{P}(M))$$ on the space $\mathcal{P}(M)$ of probability measures on a smooth compact manifold, we study the optimal transport problem between $\mathbb{P}_1$ and $\mathbb{P}_2$ where the cost function is given by the squared Wasserstein distance $W_2<sup>2(\mu,\nu)$ between $\mu,\nu \in \mathcal{P}(M)$. Under appropriate assumptions on $\mathbb{P}_1$, we prove that there exists a unique optimal plan and that it takes the form of an optimal map. An extension of this result to cost functions of the form $h(W_2(\mu,\nu))$, for strictly convex and strictly increasing functions $h$, is also established. The proofs rely heavily on a recent result of Schiavo \cite{schiavo2020rademacher}, which establishes a version of Rademacher's theorem on Wasserstein space.