Optimal transport of vector measures.

We develop and study a theory of optimal transport for vector measures. We resolve in the negative a conjecture of Klartag, that given a vector measure on Euclidean space with total mass zero, the mass of any transport set is again zero. We provide a counterexample to the conjecture. We generalise the Kantorovich-Rubinstein duality to the vector measures setting. Employing the generalisation, we answer the conjecture in the affirmative provided there exists an optimal transport with absolutely continuous marginals of its total variation.