Martingale Wasserstein inequality for probability measures in the convex order

DOI10.3150/21-BEJ1368MaRDI QIDQ2136998

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

zbMATH Keywords

Wasserstein distance; convex order; martingale optimal transport; martingale couplings

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60G42: Martingales with discrete parameter

60B10: Convergence of probability measures

49Q22: Optimal transportation