Sampling of probability measures in the convex order by Wasserstein projection

Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain

In this paper, for $\mu$ and $\nu$ two probability measures on ${\mathbb{R}}^d$ with finite moments of order $\rho \ge 1$, we define the respective projections for the $W_{\rho }$-Wasserstein dist…