3 1 Regularity of the Monge–Amp`ere equation 0 2 in Besov’s spaces n a Alexander V. Kolesnikov and Sergey Yu. Tikhonov J 8 1 Abstract. Let µ = e−V dx be a probability measure and T = ∇Φ be the optimal transportation mapping pushing forward µ onto a log-concave com- ] pactlysupportedmeasureν=e−W dx. Inthispaper,weintroduceanewap- P proachtotheregularityproblemforthecorrespondingMonge–Amp`ereequa- A tion e−V = detD2Φ·e−W(∇Φ) in the Besov spaces Wγ,1. We prove that loc h. DIn2pΦa∈rtiWculγloa,c1r,pDro2vΦide∈dLe−pV fboerlosnogmsetopa>p1ro.pOeruBrepsroovocfladsosesanndotWreilsycoonnvtehxe. t loc a previouslyknownregularityresults. m [ 2 v 1. Introduction 7 5 We consider probability measures µ = e−V dx, ν = e−W dx on Rd and the 4 optimal transportation mapping T pushing forward µ onto ν and minimizing the 3 . Monge–Kantorovichfunctional 3 0 kx−T(x)k2 dµ. 2 Z 1 It is known (see, e.g., [Vi1], [BoKo2]) that T has the form T = ∇Φ, where Φ : v is a convex function. If Φ is smooth, it satisfies the following change of variables Xi formula r (1) e−V =e−W(∇Φ)detD2Φ. a This relation can be considered as a non-linear second order PDE with unknown Φ, the so-called Monge–Amp`ere equation. The regularity problem for the Monge–Amp`ere equation has a rather long history. The pioneering results have been obtained by Alexandrov, Bakelman, Pogorelov,Calabi,Yau. Theclassicaltheorycanbe foundin[Po],[Ba],and[GT]. See also an interesting survey [Kr] on nonlinear PDE’s. 2000 Mathematics Subject Classification. Primary35J60,35B65; Secondary46E35. Key words and phrases. Monge–Kantorovich, optimal transport, Monge–Amp`ere equation, regularity,Besov’sspaces. This study was carried out within ”The National Research University Higher School of Economics“ Academic Fund Program in 2012-2013, research grant No. 11-01-0175. The first authorwassupportedbyRFBRprojects10-01-00518,11-01-90421-Ukr-f-a,andtheprogramSFB 701 at the University of Bielefeld. The second author was partially supported by MTM 2011- 27637,2009SGR1303,RFFI12-01-00169, andNSH-979.2012.1. 1 Despite thelonghistory,thesharpestHo¨lderregularityresultsofclassicaltype have been obtained only in the 90’th by L. Caffarelli [Ca1] (see also [CC, Gu, Vi1]). In particular, Caffarelli proved that D2Φ is Ho¨lder if V and W are Ho¨lder onbounded sets A and B, where A and B are supports of µ and ν respectively. In addition, B is supposed to be convex. It seems that the latter assumption cannot be dropped as demonstrated by famous counterexamples. A nice exposition with new simplified proofs and historical overview can be found in [TW]. Another result from [Ca1] establishes sufficient conditions for Φ to belong to the second Sobolev class W2,p with p > 1. More precisely, Caffarelli considered loc solution of the Monge–Amp´ere equation detD2Φ=f on a convex set Ω with Φ| = 0. Assume that Ω is normalized: B ⊂ Ω ⊂ B ∂Ω 1 d (anarbitraryconvex setΩ can be normalizedusing an affine transformation). It is shownin[Ca1]thatforeveryp>0thereexists ε(p)>0suchthatif|f−1|<ε(p) then kΦk ≤C(ε). Wang [Wa] provedthat for a fixed ε in |f−1|<ε the W2,p(B1/2) value of p in the inclusion Φ∈W2,p cannot be chosen arbitrary large. loc This Sobolev regularity result has been extended and generalized in different ways in the recent papers [Sa], [DPhF], [DPhFS], and [Sm]. See also [H] for some results onthe meanoscillationof D2Φ. It was shownin[DPhFS] that every Φ satisfying detD2Φ = f on a normalized convex set Ω with Φ| = 0 belongs to ∂Ω W2,1+ε(Ω′), where Ω′ =nx:Φ(x)≤−12kΦkL∞o provided 0<λ<f <Λ. The main purpose of this paper is to develop an alternative approach to the regularity problem of the Monge–Amp`ere equation. We prove that Φ belongs to a Besov’sspaceunderthe assumptionthate−V isBesovandW isconvex. Wegivea short proof which does not use previously known regularity results. Our estimates rely on a generalization of the so-called above-tangent formalism which has been widely used in the applications of the optimal transport theory in probability and PDE’s(see[AGS],[BoKo2],[Vi1],and[Vi2]). We alsoapplyaresultofMcCann on the change of variables formula and some classical results on equivalence of functional norms. Some estimates of the type considered in this paper have been previously ob- tained in [Ko1] in the case of the Sobolev spaces. Applications to the infinite- dimensional analysis and convex geometry can be found in [BoKo1] and [Ko2] respectively. Hereafter B denotes the ball of radius r centered at 0. We use notation D2Φ r for the Hessian matrix of Φ and k·k for the standard operator norm. We will assume that the measures µ and ν satisfy the following assumptions: Assumption A: The potential V :Rd →R has the representation V =V +V , 0 1 where |V | is globally bounded, V admits local Sobolev derivatives, and 0 1 |∇V |∈L1(µ). 1 Assumption B: The support of ν is a compact convex set B ⊂B . R 2 Definition. Besov’s space (Fractional Sobolev’s space). The space Ws,p(Q), where Q is a cube in Rd, consists of functions with the finite norm |u(x)−u(y)|p 1 kuk =kuk + dxdy p. Ws,p(Q) Lp(Q) (cid:16)ZQZQ |x−y|d+sp (cid:17) The space Ws,p(Rd) is the completion of C∞(Rd) with the norm 0 0 |u(x)−u(y)|p 1 kukW0s,p(Rd) =(cid:16)ZRdZRd |x−y|d+sp dxdy(cid:17)p. Definition. Log-concave measure. A probability measure ν is called log- concave if it satisfies the following inequality for all compact sets A,B: ν(αA+(1−α)B)≥να(A)ν(B)1−α and any 0 ≤ α ≤ 1. If ν has a density ν = e−W dx, then W must be convex (we assume that W = +∞ outside of supp(ν)). This is a classical result of C. Borell [Bo]. Remark 1. We note that the second derivative of the convex function Φ can be understood in different ways. In the generalized (weak) sense this is a measure with absolutely continuous part D2Φ dx and singular part D2Φ. Throughout the a s paper we use the following agreement: the statement “D2Φ belongs to a certain Besov or Sobolev class” means that the measure D2Φ has no singular component and the corresponding Sobolev derivative D2Φ=D2Φ belongs to this class. a Theorem 2. Let Assumptions A and B be fulfilled and, moreover, (1) there exist p≥1 and 0<γ <1 such that for every r >0 k(δ V) k y + Lp(µ) dy <∞, ZBr |y|d+p1+γ where δ V =V(x+y)+V(x−y)−2V(x) and (δ V) is the non-negative y y + part of δ V; y (2) e−V is locally bounded from below; (3) ν is a compactly supported log-concave measure. Then kD2Φk <∞ Wε,1(Q) for every cube Q⊂Rd and 0<ε< γ. 2 Taking p=+∞ we obtain the following result. Corollary 3. Let Assumptions A, B and conditions (2)-(3) be fulfilled. As- sume, in addition, that (δ V) ≤ω(|y|) for some ω :R+ →R+ and y + r ω(s) ds<∞ Z s1+γ 0 for some γ >0 and every r >0. Then kD2Φk <∞ with 0<ε< γ. Wε,1(Q) 2 In particular, applying the fractional Sobolev embedding theorem (see, e.g., [Ad, Ch. V]) we get Corollary 4. Under assumptions of Theorem 2, for every ε>0, d kD2Φk∈Ld−γ2+ε. loc 3 Remark 5. Notethatincorollary4wedonotassumethatV isboundedfrom below. 2. Auxiliary results Below we will use the following function space (see, e.g., [St]). Let Λp,q, 0<α<2, be the space of functions with the finite norm α kf(x+t)+f(x−t)−2f(x)k q 1 kfkΛpα,q =kfkp+hZRd (cid:0) |t|d+αq p(cid:1) dtiq, where k·k is the Lp-norm with respect to the Lebesgue measure. We will apply p the following equivalence result from [St, Ch.5, Sec. 5, Propos. 8’]. Lemma 6. For α>1 the norm kfkΛpα,q is equivalent to (k∇f(x+t)−∇f(x)k )q 1 kfk + p dt q. p hZRd |t|d+(α−1)q i In particular, if α>1 and kfkΛpα,q <∞, then f admits the Sobolev derivatives. LetusrecallthateveryconvexfunctionΦonRd admitsthefollowingtwotypes of second derivatives. Definition. We say that the measure µ is the distributional derivative of ev a convex function Φ along unit vectors e,v if the following integration by parts formula holds for any test function ξ: ξ dµ =− ∂ ξ ∂ Φ dx. Z ev Z e v We set ∂ Φ:=µ . ev ev Definition. The absolutely continuous part (∂ Φ) of ∂ Φ is called the ev a ev second Alexandrov derivative of Φ along e,v. Clearly, ∂ Φ≥(∂ Φ) ≥0 ee ee a in the sense of measures. Let us denote by D2Φ the matrix consisting on these absolutely continuous a parts. We will apply the following result of R. McCann from [McCann]. Theorem 7. Forµ-almostallxthefollowing changeofvariables formulaholds e−V(x) =detD2Φ(x)·e−W(∇Φ(x)). a We will need the following lemma from [Ko1]. In fact, this is a generaliza- tion of the well-known above-tangent lemma which has numerous applications in probability and gradient flows of measures with respect to the Kantorovichmetric (see [Vi1], [Vi2],[AGS], [BoKo2]). The prooffollowsdirectly fromthe changeof variables and integration by parts. 4 Lemma 8. Assume that W is twice continuously differentiable and D2W ≥K·Id for some K ∈R, p≥0. Then δ V(δ Φ)pdµ Z y y K K ≥ |∇Φ(x+y)−∇Φ(x)|2(δ Φ)p dµ+ |∇Φ(x−y)−∇Φ(x)|2(δ Φ)p dµ 2 Z y 2 Z y +p ∇δ Φ,(D2Φ)−1∇δ Φ (δ Φ)p−1 dµ, Z D y a y E y where δ V =V(x+y)+V(x−y)−2V(x). y Corollary 9. It follows easily from Lemma 8 that inequality δ V(δ Φ)pdµ≥p ∇δ Φ,(D2Φ)−1∇δ Φ (δ Φ)p−1 dµ Z y y Z D y a y E y holds for any log-concave measure ν. In particular, this holds for the restriction of Lebesgue measure 1 λ| on a convex subset A. In this case W is a constant on λ(A) A A and W(x)=+∞ if x∈/ A. Remark 10. Let us assume that V is twice differentiable and y =te for some unit vector e. Dividing by t2p+2 and passing to the limit we obtain (2) V Φp dµ ≥ K kD2Φ·ek2Φp dµ Z ee ee Z ee + p h(D2Φ)−1∇Φ ,∇Φ iΦp−1 dµ. Z ee ee ee Now it is easy to get some of the results of [Ko1] from (2). In particular, applying integration by parts for the left-hand side and Ho¨lder inequalities, one can easily obtain that p+1 KkΦ2 k ≤ kV2k . ee Lp(µ) 2 e Lp(µ) Itisworthmentioningthat(2)gives,infact,anaprioriestimateforderivatives of Φ up to the third order (due to the term p h(D2Φ)−1∇Φ ,∇Φ iΦp−1 dµ). ee ee ee R We denote by ∆ Φ the absolutely continuous part of the distributional Lapla- a cian of Φ. Lemma 11. Under Assumptions A and B, there exists C such that d ∆ Φ(x+y) dµ≤ e−V(x) d ∂ Φ(x+y) ≤C Z a Z xixi Xi=1 (cid:2) (cid:3) uniformly in y ∈Rd. Proof. The inequality ∆ Φ(x+y) dµ≤ d e−V(x) d ∂ Φ(x+y) is a i=1 xixi clear in view of the fact thatRthe singular part ofP∂ ΦR is nonne(cid:2)gative. Moreov(cid:3)er, xixi 5 we get d d e−V(x) d ∂ Φ(x+y) ≤c e−V1(x) d ∂ Φ(x+y) Z xixi 1 Z xixi Xi=1 (cid:2) (cid:3) Xi=1 (cid:2) (cid:3) =c h∇Φ(x+y),∇V (x)ie−V1(x) dx≤c R |∇V (x)|e−V1(x) dx 1Z 1 1 Z 1 ≤c |∇V (x)| dµ. 2Z 1 (cid:3) Finally, we will use the fractional Sobolev embedding theorem (see [Ad, Ch. V]).We formulateitinthe followingformgivenin[MSh](see also[BBM], [KL]). Theorem 12. Let p>1, 0<s<1 and sp<d. Then for every u∈Ws,p(Rd) 0 one has s(1−s) kukp ≤c(d,p) kukp , Lq(Rd) (d−sp)p−1 W0s,p(Rd) where q =dp/(d−sp). 3. Proof of Theorem 2 Let us apply Lemma 8 with p=1. We have δ V ·δ Φ dµ≥ ∇δ Φ,(D2Φ)−1∇δ Φ dµ. ZRd y y ZRdD y a y E Taking into account Lemma 11, we obtain kD2Φk dµ < ∞. Then Cauchy Rd a inequality yields R 2 kD2Φk dµ· δ V ·δ Φ dµ≥ |∇δ Φ|dµ . ZRd a ZRd y y (cid:16)ZRd y (cid:17) By the Ho¨lder inequality, for every p,q≥1, 1 + 1 =1, we have p q δ V ·δ Φ dµ≤ (δ V) ·δ Φ dµ≤k(δ V) k ·kδ Φk Z y y Z y + y y + Lp(µ) y Lq(µ) Rd Rd Let us now estimate kδ Φk . Note that |∇Φ|≤R, and hence δ Φ≤2R|y|. y Lq(µ) y Letusalsomentionthatt→Φ(x+ty)isaone-dimensionalconvexfunctionfor afixedx. Therefore,m =∂2Φ(x+ty)isanonnegativemeasureonR1. Moreover, y tt 1 δ Φ= h∇Φ(x+sy)−∇Φ(x−sy),yi ds y Z 0 1 s = dm ds. Z Z y 0 −s Therefore, we have kδ Φkq = (δ Φ)q dµ≤(2R|y|)q−1 δ Φ dµ y Lq(µ) Z y Z y 1 s =(2R|y|)q−1 e−V(x)d ∂2Φ(x+ty) dt ds. Z Z Z tt 0 −s (cid:2) (cid:3) 6 It follows from Lemma 11 that kδ Φkq ≤C|y|1+q. y Lq(µ) Hence, 2 (cid:16)ZRd|∇δyΦ|dµ(cid:17) ≤ZRdδyV ·δyΦ dµ≤Ck(δyV)+kLp(µ)|y|1+q1. Now we divide this inequality by |y|d+2+γ and integrate it over a bounded subset Q⊂Rd. By condition (1), we get 1 2 (3) |∇Φ(x+y)+∇Φ(x−y)−2∇Φ(x)| dµ dy <∞. ZQ |y|d+2+γ(cid:16)ZRd (cid:17) Let us take a smooth compactly supported function ξ ≥0. We will show that (4) 1 2 |ξ(x+y)∇Φ(x+y)+ξ(x−y)∇Φ(x−y)−2ξ(x)∇Φ(x)|dx dy <∞. ZRd |y|d+2+γ(cid:16)ZRd (cid:17) Let us split this integral in two parts: ··· dx= ··· dx+ ··· dx=I +I . Z Z Z 1 2 Rd B1 B1c To estimate the second part, we note that |ξ(x+y)∇Φ(x+y)+ξ(x−y)∇Φ(x−y)−2ξ(x)∇Φ(x)| dx≤4R |ξ(x)| dx. Z Z Rd Rd Thus, I <∞. 2 LetusestimateI . Itfollowsfromestimate(3)andcondition(3)ofthetheorem 1 that 1 2 |∇Φ(x+y)+∇Φ(x−y)−2∇Φ(x)|ξ(x) dx dy <∞. ZB1 |y|d+2+γ(cid:16)ZRd (cid:17) Therefore, it is enough to show that 1 I = |∇Φ(x+y) ξ(x+y)−ξ(x) 3 ZB1 |y|d+2+γ(cid:16)ZRd (cid:0) (cid:1) 2 +∇Φ(x−y) ξ(x−y)−ξ(x) | dx dy <∞. (cid:0) (cid:1) (cid:17) Since |y|≤1 and ξ is compactly supported, there exists R >0 such that 0 1 I ≤ ∇Φ(x+y) ξ(x+y)−ξ(x) 3 ZBR0 |y|d+2+γ(cid:16)ZBR0 (cid:12)(cid:12) (cid:0) (cid:1) 2 +∇Φ(x−y) ξ(x−y)−ξ(x) dx dy <∞. (cid:0) (cid:1)(cid:12) (cid:17) Using smoothness conditions on ξ, we obtain (cid:12) ∇Φ(x+y) ξ(x+y)−ξ(x) +∇Φ(x−y) ξ(x−y)−ξ(x) (cid:12) (cid:12) (cid:12) (cid:0) (cid:1) (cid:0) (cid:1)(cid:12) (cid:12) = ∇Φ(x+y)−∇Φ(x−y) ξ(x+y)−ξ(x) (cid:12) (cid:12) (cid:12)(cid:0) (cid:1)(cid:0) (cid:1) (cid:12) +∇Φ(x−y) ξ(x+y)+ξ(x−y)−2ξ(x) (cid:12) (cid:0) (cid:1)(cid:12) ≤C R |y|2+|y||∇Φ(x+y)−∇Φ(x−y)| . (cid:12) 0 (cid:16) (cid:17) 7 Thus, it is sufficient to show that 1 2 (5) |∇Φ(x+y)−∇Φ(x−y)| dx dy <∞. ZBR |y|d+γ(cid:16)ZBR (cid:17) To prove (5), we use the representation 1 d |∇Φ(x+y)−∇Φ(x−y)| dx= d ∂ Φ (x+sy) (s)·y dx. ZBR ZBR(cid:12)(cid:12)Z−1Xi=1 (cid:2) s ei i i(cid:12)(cid:12) (cid:12) The latteris boundedby C|y| ∆Φ. This immediately implies thatI <∞and B2R 3 therefore (4) is proved. R This means that |ξ·∇Φ| <∞ for every smooth compactly supported ξ. Λ1,2 1+γ/2 Using smoothness conditions on ξ and boundedness of ∇Φ, we get from Lemma 6 that D2Φ has no singular parts and 1 2 (6) |D2Φ(x+y)−D2Φ(x)| dx dy <∞ ZBr |y|d+γ(cid:16)ZBr (cid:17) for any B . r Finally, applying the Cauchy–Schwarzinequality, we obtain for every δ >0 1 2 |D2Φ(x+y)−D2Φ(x)| dx dy (cid:16)ZBr|y|d+γ/2−δ/2 ZBr (cid:17) 1 2 |y|δ ≤ |D2Φ(x+y)−D2Φ(x)| dx dy· dy <∞, ∀B ZBr |y|d+γ(cid:16)ZBr (cid:17) ZBr |y|d r Changing variables implies |D2Φ(z)−D2Φ(x)| dx dz <∞ Z Z |z−x|d+ε Q Q for every 0<ε< γ and bounded Q. The proof is now complete. (cid:3) 2 4. Remarks on improved integrability d ByapplyingTheorem2wegetabetter (local)integrabilityofkD2Φk(Ld−γ2+ε insteadofL1);seeCorollary4. Thiscanbeusedtoimprovetheestimatesobtained in Theorem 2. We assume for simplicity that we transport measures with periodical densities by a periodical optimal mapping T(x)=x+∇ϕ(x), where ϕ is periodical. Equivalently, one can consider optimal transportation of probabilitymeasuresontheflattorusT. Thenonecanrepeattheabovearguments and obtain the same estimates which become global. In general, it can be shown that the assumption kD2ϕk∈Lr(T) implies |D2ϕ(x+y)−D2ϕ(x)|r2+r1 dx dy <∞ ZTZT |y|d+r+r1(γ+r−q1)−ε 8 for every ε and kD2ϕk∈Lr′(T) with any r′ satisfying 2dr r′ < r+1 . d− r (γ+ r−1) r+1 q Starting with r = 1 and iterating this process one can obtain a sequence r such 0 n that kD2ϕk∈Lrn−ε for every rn and ε>0 2drn r =1, r = rn+1 . 0 n+1 d− rn (γ+ rn−1) rn+1 q One has kD2ϕk∈Lr−ε, where r =lim r solves the equation n n x2+x(q(γ−d)−1)+qd=0 with r >1. References [Ad] AdamsR.A.,Sobolev spacesAcademicPress,1975. [AGS] AmbrosioL.,GigliN.,Savar´eG.,Gradient flows inmetric spaces andintheWasserstein spaces of probability measures, Birkh¨auser,2008. [Ba] BakelmanI.J.,Convex analysisandnonlinear geometricellipticequations,Springer-Verlag, Berlin,1994. [BoKo1] Bogachev V.I., Kolesnikov A.V., Sobolev regularity for the Monge–Ampere equation in the Wienerspace. arXiv: 1110.1822. 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[Vi2] VillaniC., Optimal transport, old and new, Vol. 338 of Grundlehren der mathematischen Wissenschaften,Springer,2009. [Wa] Wang X.-J., Some counterexamples to the regularity of Monge–Amp`ere equations, Proc. Amer.Math.Soc.,123(1995), no.3,841–845. Higher Schoolof Economics, Moscow, Russia E-mail address: [email protected] ICREAandCentredeRecercaMatema`tica,Apartat5008193Bellaterra,Barcelona, Spain E-mail address: [email protected] 10