Localisation for the second-order Beckmann problem: bimartingale couplings and leaf decompositions

Abstract

We develop a second-order localisation theory for optimal transport based on leaf decompositions and bimartingale couplings. It provides a second-order analogue of the classical decomposition of optimal transport into transport rays and monotone couplings: transport rays are replaced by the leaves of the $1$-Lipschitz derivative map $Du$ of an optimal dual potential $u\in C^{1,1}(\mathbb R^n)$, while monotone couplings are replaced by bimartingale couplings. We apply this framework to the three-marginal optimal transport problem introduced by Bolbotowski and Bouchitté, whose relaxation is the second-order Beckmann problem. We introduce bimartingale couplings and characterise their existence through a convex-concave order condition. This yields a generalisation of Strassen's theorem from convex order to the convex-concave setting. Equivalently, the dual problem associated with the second-order Beckmann problem admits an optimiser whose derivative is an isometry. For absolutely continuous measures with common barycentre, assuming the existence of an optimal plan with absolutely continuous third marginal, we prove that every optimal plan decomposes into a family of problems on the leaves of $Du$. On each leaf, all optimal plans are completely described by bimartingale couplings between the corresponding conditional measures. Without this absolute continuity assumption, we show that the leaf decomposition persists in a more general form: optimal plans are mixtures of plans concentrated on triples $(x,y,z)$ satisfying $x\in \mathcal{S}_1$, $y\in \mathcal{S}_2$, and $z\in \mathcal{S}_1\cap \mathcal{S}_2$, where $\mathcal{S}_1$ and $\mathcal{S}_2$ are neighbouring leaves of $Du$.