A Connection of the Brascamp-Lieb Inequality with Skorokhod Embedding

Research output: Contribution to journalArticlepeer-review

Abstract

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

Original languageEnglish
JournalElectronic Communications in Probability
Volume19
DOIs
Publication statusPublished - 2014 Aug 29

Keywords

  • Brascamp-Lieb inequality
  • Itô-Tanaka formula
  • Skorokhod embedding

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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