Maximal Martingale Wasserstein Inequality
Résumé
In this note, we complete the analysis of the Martingale Wasserstein Inequality started in [5] 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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