TITLE: Is there an $\infty$ version of the Wasserstein distance between two distributions?
QUESTION [8 upvotes]: If I have two probability distributions $\mu$ and $\nu$ defined on $X$ and $Y$ respectively, then the $p$-th Wasserstein distance between the two of them is defined as $$W_p(\mu,\nu) = \left(\inf_{\pi\in\Pi(\mu,\nu)}\int_{X\times Y}d(x,y)^{p}\,\mathrm{d}\pi(x,y)\right)^{1/p}
 $$
where $\Pi(\mu,\nu)$ is the set of all distributions on $X\times Y$ whose marginals are $\mu$ and $\nu$ respectively and $p\geq 1$.  My question is:  is the limiting behavior of this quantity as $p\to\infty$ defined?  Does it have a name?

REPLY [5 votes]: I see no reason why $W_\infty := \inf_{\pi\in\Pi}||d||_{L^\infty(\pi)}$ wouldn't fit. This is not to claim that $\lim_{p\to\infty} W_p=W_\infty$ (which I believe is true anyway), but at least it exists, although with properties different from the $W_p$s, $p<\infty$.