Maximal Martingale Wasserstein Inequality
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 $d\ge 2$ when the integrability parameter $\rho$ belongs to $[1,2)$ while a stronger Maximal Martingale Wasserstein Inequality holds whatever the dimension $d$ when $\rho\ge 2$.
- Publication:
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arXiv e-prints
- Pub Date:
- October 2023
- DOI:
- arXiv:
- arXiv:2310.08492
- Bibcode:
- 2023arXiv231008492J
- Keywords:
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- Mathematics - Probability;
- Quantitative Finance - Mathematical Finance
- E-Print:
- 7 pages