Martingale Wasserstein inequality for probability measures in the convex order
The authors show that two one-dimensional probability measures in the convex order admit a martingale coupling with respect to which the integral of \(|x-y|\) is smaller than twice their \(W_1\)-distance (Wasserstein distance with index \(1\)). It is also shown that replacing \(|x-y|\) and \(W_1\) respectively with \(|x- y|^p\) and \(W_\rho^p\). does not lead to a finite multiplicative constant. The authors show that a finite constant is recovered when replacing \(W_\rho^p\) with the product of \(W_\rho\) times the centered \(\rho\)-th moment of the second marginal to the power \(\rho-1\). Then the authors study the generalisation of this new martingale Wasserstein inequality to higher dimension.
- A new family of one dimensional martingale couplings
- Sampling of probability measures in the convex order by Wasserstein projection
- Quantization and martingale couplings
- Structure of optimal martingale transport plans in general dimensions
- Stochastic and convex orders and lattices of probability measures, with a martingale interpretation
- A new family of one dimensional martingale couplings
- A remark on the optimal transport between two probability measures sharing the same copula
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- An explicit martingale version of the one-dimensional Brenier theorem
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
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- Computational methods for martingale optimal transport problems
- Dual attainment for the martingale transport problem
- Gradient flows in metric spaces and in the space of probability measures
- scientific article; zbMATH DE number 1909499 (Why is no real title available?)
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- Model-independent bounds for option prices -- a mass transport approach
- On a problem of optimal transport under marginal martingale constraints
- Optimal Transport
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Sampling of probability measures in the convex order by Wasserstein projection
- Sharp inequalities between centered moments
- Stability of martingale optimal transport and weak optimal transport
- Stability of the shadow projection and the left-curtain coupling
- The Existence of Probability Measures with Given Marginals
- A new family of one dimensional martingale couplings
- Quantization and martingale couplings
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Lipschitz continuity of the Wasserstein projections in the convex order on the line
- An optimal transport-based characterization of convex order
- Martingale Wasserstein inequality for probability measures in the convex order
- Maximal martingale Wasserstein inequality
- Non-decreasing martingale couplings
- Quantizations of probability measures and preservation of the convex order
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