Maximal martingale Wasserstein inequality

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DOI10.1214/24-ecp593MaRDI QIDQ6597242

Kexin Shao, Benjamin Jourdain

Publication date: 3 September 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

Wasserstein distance convex order martingale optimal transport martingale couplings

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Optimal transportation (49Q22)

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