Martingale Wasserstein inequality for probability measures in the convex order

DOI10.3150/21-BEJ1368MaRDI QIDQ2136998FDOQ2136998

Benjamin Jourdain, W. Margheriti

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.11599

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zbMATH Keywords

Wasserstein distanceconvex ordermartingale optimal transportmartingale couplings

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Optimal transportation (49Q22) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

Cites Work

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• A new family of one dimensional martingale couplings
• Stability of martingale optimal transport and weak optimal transport
• Dual attainment for the martingale transport problem
• Computational methods for martingale optimal transport problems
• Irreducible convex paving for decomposition of multidimensional martingale transport plans
• Sampling of probability measures in the convex order by Wasserstein projection
• A remark on the optimal transport between two probability measures sharing the same copula

Cited In (5)

• Maximal martingale Wasserstein inequality
• Martingale Wasserstein inequality for probability measures in the convex order
• An optimal transport-based characterization of convex order
• Lipschitz continuity of the Wasserstein projections in the convex order on the line
• Non-decreasing martingale couplings

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