Abstract
In this note, we complete the analysis of the Martingale Wasserstein Inequality started in [5] by checking that this inequality fails in dimension when the integrability parameter ρ belongs to while a stronger Maximal Martingale Wasserstein Inequality holds whatever the dimension d when .
Acknowledgments
This research benefited from the support of the “Chaire Risques Financiers”, Fondation du Risque. It has also received funding from the European Union’s Horizon 2020 research and innovation programme under the Marie Skłodowska-Curie grant agreement No 945322.
Citation
Benjamin Jourdain. Kexin Shao. "Maximal Martingale Wasserstein inequality." Electron. Commun. Probab. 29 1 - 8, 2024. https://doi.org/10.1214/24-ECP593
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