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Let $\mu$, $\nu$ and $\gamma$ be three probability measures on $\mathbb R$. Consider the optimisation problem as follows: $$\inf_{(X,Y,Z)}~ \mathbb E\big[|Y-Z|^2\big],$$ where the inf is taken overa …

Let $\mu(dx)=\sum_{i=1}^np_i\delta_{x_i}(dx)$ and $\nu(dy)=\rho(y)dy$ be two probability measures on $\mathbb R^d$, where $\nu$ has a bounded support. Consider the $2-$Wasserstein distance below: $$W …

Let $\mu(dx)=\sum_{i=1}^np_i\delta_{x_i}(dx)$ and $\nu(dy)=\rho(y)dy$ be two probability measures on $\mathbb R^d$. Consider the $2-$Wasserstein distance below: $$W_2(\mu,\nu)^2 \quad := \quad \inf_{ …

I've a solution but it's not perfectly satisfying. Assume that $$V~~~:=~~~\int |x|^pd\mu(x)~+~\int |x|^pd\nu(x)~~~<~~~+\infty$$ for some fixed $p>1$. It follows from Thought 1 that, there exists $f …

Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^n$ with finite first moment. Denote by $d:=W_1(\mu,\nu)$, where $W_1(\cdot,\cdot)$ stands for the Wasserstein distance of order $1$. My …