Martingale Wasserstein inequality for probability measures in the convex order
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Publication:2136998
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
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Convergence of probability measures (60B10) Optimal transportation (49Q22)
Related Items (3)
An optimal transport-based characterization of convex order ⋮ Non-decreasing martingale couplings ⋮ Maximal martingale Wasserstein inequality
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