Maximal Martingale Wasserstein Inequality

2023/10/12 by Benjamin Jourdain, Jourdain, Benjamin, Kexin Shao +1
Mathematics · #FOS: Economics and business #FOS: Mathematics #Geometric Analysis and Curvature Flows #Geometry and complex manifolds #Mathematical Finance (q-fin.MF) #Point processes and geometric inequalities #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.2310.08492

openalex publication_date 2023/10/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

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≥ 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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