Nested distance for stagewise-independent processes
Abstract
We prove that, for two discrete-time stagewise-independent processes with a stagewise metric, the nested distance is equal to the sum of the Wasserstein distances between the marginal distributions of each stage.
- Publication:
-
arXiv e-prints
- Pub Date:
- November 2017
- DOI:
- arXiv:
- arXiv:1711.10633
- Bibcode:
- 2017arXiv171110633G
- Keywords:
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- Mathematics - Optimization and Control;
- 90C08;
- 90C15;
- 49M27;
- 90C39
- E-Print:
- 24 pages, 6 figures