On optimal transport of matrix-valued measures

Abstract

We suggest a new way of defining optimal transport of positive-semidefinite matrix-valued measures. It is inspired by a recent rendering of the incompressible Euler equations and related conservative systems as concave maximization problems. The main object of our attention is the Kantorovich-Bures metric space, which is a matricial analogue of the Wasserstein and Hellinger-Kantorovich metric spaces. We establish some topological, metric and geometric properties of this space, which includes the existence of the optimal transportation path.