Regularity of the positional penalization function in inter-sign optimal transport on real measures

Abstract

We study the Monge--Kantorovich optimal transport problem between two signed measures~$μ$ and~$ν$ on convex compact subsets of~$\mathbb{R}^d$, with a positional penalization function~$λ(x, y)$ that modulates the cost of inter-sign transport. Using four independent positive measures~$(π^{++}, π^{+-}, π^{-+}, π^{--})$ as decision variables, we prove that the admissible set~$\mathcal{A}(μ, ν)$ is weakly-$*$ compact and non-empty if and only if $μ^+(X) = ν^+(Y)$ and~$μ^-(X) = ν^-(Y)$. Strong duality is established via the Kantorovich minimax theorem, yielding a new compatibility condition on~$λ$ at the intersection of inter-sign supports. The penalization~$λ$ is shown to be Lipschitz and to admit Alexandrov second derivatives almost everywhere. Modified Monge--Ampère equations governing inter-sign transport maps are derived in the Alexandrov sense, with well-posedness characterized by $σ\det(D^2_{yx}Λ) e > 0$. The classical Brenier equation is recovered in the limit~$λ\to 0$.