Recent studies revealed the mathematical connection of deep neural network (DNN) and dynamic system. However, the fundamental principle of DNN has not been fully characterized with dynamic system in terms of optimization and generalization. To this end, we build the connection of DNN and continuity equation where the measure is conserved to model the forward propagation process of DNN which has not been addressed before. DNN learns the transformation of the input distribution to the output one. However, in the measure space, there are infinite curves connecting two distributions. Which one can lead to good optimization and generaliztion for DNN? By diving the optimal transport theory, we find DNN with weight decay attempts to learn the geodesic curve in the Wasserstein space, which is induced by the optimal transport map. Compared with plain network, ResNet is a better approximation to the geodesic curve, which explains why ResNet can be optimized and generalize better. Numerical experiments show that the data tracks of both plain network and ResNet tend to be line-shape in term of line-shape score (LSS), and the map learned by ResNet is closer to the optimal transport map in term of optimal transport score (OTS). In a word, we conclude a mathematical principle of deep learning is to learn the geodesic curve in the Wasserstein space; and deep learning is a great engineering realization of continuous transformation in high-dimensional space.