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arXiv · 2310.08492

Maximal Martingale Wasserstein Inequality

Benjamin Jourdain·Kexin Shao
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Abstract

In this note, we complete the analysis of the Martingale Wasserstein Inequality started in arXiv:2011.11599 by checking that this inequality fails in dimension $d\ge 2$ when the integrability parameter $\rho$ belongs to $[1,2)$ while a stronger Maximal Martingale Wasserstein Inequality holds whatever the dimension $d$ when $\rho\ge 2$.

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Benjamin Jourdain, Kexin Shao. 2023-10-12. Maximal Martingale Wasserstein Inequality. https://arxiv.org/abs/2310.08492

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