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Extreme points of a ball about a measure with finite support

Abstract

We show that, for the space of Borel probability measures on a Borel subset of a Polish metric space, the extreme points of the Prokhorov, Monge-Wasserstein and Kantorovich metric balls about a measure whose support has at most nn points, consist of measures whose supports have at most n+2n+2 points. Moreover, we use the Strassen and Kantorovich-Rubinstein duality theorems to develop efficiently computable supersets of the extreme points.

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