  We analyze continuous optimal transport problems in the so-called Kantorovich
form, where we seek a transport plan between two marginals that are probability
measures on compact subsets of Euclidean space. We consider the case of
regularization with the negative entropy with respect to the Lebesgue measure,
which has attracted attention because it can be solved by the very simple
Sinkhorn algorithm. We first analyze the regularized problem in the context of
classical Fenchel duality and derive a strong duality result for a predual
problem in the space of continuous functions. However, this problem may not
admit a minimizer, which prevents obtaining primal-dual optimality conditions.
We then show that the primal problem is naturally analyzed in the Orlicz space
of functions with finite entropy in the sense that the entropically regularized
problem admits a minimizer if and only if the marginals have finite entropy. We
then derive a dual problem in the corresponding dual space, for which existence
can be shown by purely variational arguments and primal-dual optimality
conditions can be derived. For marginals that do not have finite entropy, we
finally show Gamma-convergence of the regularized problem with smoothed
marginals to the original Kantorovich problem.
