A connection of the Brascamp-Lieb inequality with Skorokhod embedding

Abstract

We reveal a connection of the Brascamp-Lieb inequality with Skorokhod embedding. Error bounds for the inequality in terms of variance are also provided.

References in corpus (2)

• The Skorokhod embedding problem and its offspring
• Root's barrier: Construction, optimality and applications to variance options

Cited by in corpus (1)

• A variational representation and Prékopa's theorem for Wiener functionals