Wasserstein distance in terms of the Comonotonicity Copula

Abstract

In this article, we represent the Wasserstein metric of order $p$, where $p\in [1,\infty)$, in terms of the comonotonicity copula, for the case of probability measures on $\R^d$, by revisiting existing results. In 1973, Vallender established the link between the $1$-Wasserstein metric and the corresponding distribution functions for $d=1$. In 1956 Giorgio dall'Aglio showed that the p-Wasserstein metric in $d=1$ could be written in terms of the comonotonicity copula $M$ without being aware of the concept of copulas or Wasserstein metrics. In this article, for the proofs we explicitly combine tools from copula theory and Wasserstein metrics. The extension to general $d\in\N$ has some restriction, as discussed e.g. in \cite{Alfonsi} and \cite{BDS}. Some of the results of \cite{Alfonsi}, \cite{BDS} and \cite{RR} are revisited here in a more explicit form in terms of the comonotonicity copula.