Abstract. Given probability spaces (Xi, Ai,Pi),i =1,2,let M(P1,P2)denote the set of all probabilities on the product space with marginals P1 and P2 and let h be a measurable function on (X1 × X2, A1 ⊗A2). Continuous versions of linear programming stemming from the works of Monge (1781) and Kantorovich-Rubinˇstein (1958) for the case of compact metric spaces are concerned with the validity of the duality sup { hdP:P∈M(P1,P2)

Communicated Richard T. Durrett