Abstract
In this note, we complete the analysis of the Martingale Wasserstein Inequality started in [5] by checking that this inequality fails in dimension d ≥ 2 when the integrability parameter ρ belongs to [1; 2) while a stronger Maximal Martingale Wasserstein Inequality holds whatever the dimension d when ρ ≥ 2.
| Original language | English |
|---|---|
| Article number | 26 |
| Journal | Electronic Communications in Probability |
| Volume | 29 |
| DOIs | |
| Publication status | Published - 1 Jan 2024 |
Keywords
- Wasserstein distance
- convex order
- martingale couplings
- martingale optimal transport
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