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Proof.
First, we check the very existence of the partial Legendre transform. Consider the following Jacobian and Hessian matrices:
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Then
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This shows that if both and are symmetric and positive definite, then is also a symmetric positive definite matrix, so there exists (locally) a convex function – the partial Legendre transform.
On the other hand the inverse of a non-degenerate block matrix
with and is:
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which implies that
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Applied to the last observation shows that is a local Monge-Ampère solution if and only if .
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