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Maximal Martingale Wasserstein Inequality

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  • Benjamin Jourdain
  • Kexin Shao

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 $\rho\ge 2$.

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  • Benjamin Jourdain & Kexin Shao, 2023. "Maximal Martingale Wasserstein Inequality," Papers 2310.08492, arXiv.org.
    • Handle: RePEc:arx:papers:2310.08492
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    References listed on IDEAS

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    1. Mathias Beiglbock & Benjamin Jourdain & William Margheriti & Gudmund Pammer, 2021. "Stability of the Weak Martingale Optimal Transport Problem," Papers 2109.06322, arXiv.org, revised Apr 2022.
    2. David Hobson & Martin Klimmek, 2015. "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, vol. 19(1), pages 189-214, January.
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