On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces

For a separable metric space (X, d) L^p Wasserstein metrics between probability measures μ and v on X are defined by where the infimum is taken over all probability measures η on X × X with marginal distributions μ and v, respectively. After mentioning some basic properties of these metrics as well as explicit formulae for X = R a formula for the L² Wasserstein metric with X = Rⁿ will be cited from [5], [9], and [21] and proved for any two probability measures of a family of elliptically contoured distributions. Finally this result will be generalized for Gaussian measures to the case of a separable Hilbert space.