Journal Articles Electronic Communications in Probability Year : 2024

Maximal Martingale Wasserstein Inequality

Abstract

In this note, we complete the analysis of the Martingale Wasserstein Inequality started in [5] by checking that this inequality fails in dimension d ≥ 2 when the integrability parameter ρ belongs to [1, 2) while a stronger Maximal Martingale Wasserstein Inequality holds whatever the dimension d when ρ ≥ 2.
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Dates and versions

hal-04241070 , version 1 (13-10-2023)

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Benjamin Jourdain, Kexin Shao. Maximal Martingale Wasserstein Inequality. Electronic Communications in Probability, 2024, 29 (26), ⟨10.1214/24-ECP593⟩. ⟨hal-04241070⟩
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