Maximal Martingale Wasserstein inequality

Benjamin Jourdain; Kexin Shao

doi:10.1214/24-ECP593

Maximal Martingale Wasserstein inequality

Benjamin Jourdain
, Kexin Shao

Inria Paris
Université Paris Dauphine

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

1 Citation (Scopus)

Résumé

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.

langue originale	Anglais
Numéro d'article	26
journal	Electronic Communications in Probability
Volume	29
Les DOIs	https://doi.org/10.1214/24-ECP593
état	Publié - 1 janv. 2024

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title = "Maximal Martingale Wasserstein inequality",

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.",

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author = "Benjamin Jourdain and Kexin Shao",

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AU - Shao, Kexin

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AB - 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.

KW - Wasserstein distance

KW - convex order

KW - martingale couplings

KW - martingale optimal transport

UR - https://www.scopus.com/pages/publications/85200848509

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DO - 10.1214/24-ECP593

M3 - Article

AN - SCOPUS:85200848509

SN - 1083-589X

VL - 29

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

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Maximal Martingale Wasserstein inequality

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