A remark on the optimal transport between two probability measures sharing the same copula

DOI10.1016/j.spl.2013.09.035zbMath1296.60023arXiv1307.4249OpenAlexW2952293913MaRDI QIDQ2444387

Aurélien Alfonsi, Benjamin Jourdain

Publication date: 9 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.4249

zbMATH Keywords

copulaWasserstein distanceoptimal transportinversion of the cumulative distribution function

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (4)

Martingale Wasserstein inequality for probability measures in the convex order ⋮ Coordinate-wise transformation of probability distributions to achieve a Stein-type identity ⋮ Parseval's identity and optimal transport maps ⋮ General construction and classes of explicit \(L^1\)-optimal couplings

Cites Work

• An introduction to copulas.
• Multivariate comonotonicity
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications

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