Convergence framework for the second boundary value problem for the Monge-Ampère equation

Abstract

It is well known that the quadratic-cost optimal transportation problem is formally equivalent to the second boundary value problem for the Monge-Ampère equation. Viscosity solutions are a powerful tool for analysing and approximating fully nonlinear elliptic equations. However, we demonstrate that this nonlinear elliptic equation does not satisfy a comparison principle and thus existing convergence frameworks for viscosity solutions are not valid. We introduce an alternative PDE that couples the usual Monge-Ampère equation to a Hamilton-Jacobi equation that restricts the transportation of mass. We propose a new interpretation of the optimal transport problem in terms of viscosity subsolutions of this PDE. Using this reformulation, we develop a framework for proving convergence of a large class of approximation schemes for the optimal transport problem. Examples of existing schemes that fit within this framework are discussed.