Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2019/iii/paper-348/1/c/solution

The intended monotone rearrangement is
Here is the quantile function of , agreeing with the ordinary inverse when is continuous and strictly increasing. With an atomless measure , its cumulative distribution function is continuous, and the probability integral transform makes uniform on for . Thus . The one-dimensional monotone rearrangement theorem says this transport map minimizes the cost for convex continuous , whenever the cost integrals are well defined. Values at exceptional endpoints may be chosen arbitrarily.
The printed assumptions omit an essential source condition. Invertibility of alone does not ensure an admissible transport map. For example, and a standard normal distribution satisfy the stated condition on , but is always a Dirac measure. There is no solution to the Monge optimal transport problem in this example. The boxed answer therefore requires the additional assumption that is an atomless measure, or an equivalent condition making the displayed map admissible. For arbitrary sources the always admissible monotone transport plan is , which need not be induced by a map.

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