Every Cauchy sequence for the quadratic Wasserstein distance of probability measures with finite second moment on a separable Hilbert space is a tight sequence of measures.
In the setting of Borel Probability Measures on a Real Hilbert Space with an Orthonormal Basis: Standing Notation, let be the set of probability measures with finite second moment and the quadratic Wasserstein distance, so that is a metric space by The Quadratic Wasserstein Distance is a Metric on the Probability Measures with Finite Second Moment on a Hilbert Space §metric. Then the following hold.
1. (Cauchy sequences) Every Cauchy sequence in is tight in .
2. (Weakly convergent sequences) Every sequence in that converges weakly to some , in the sense of Borel Probability Measures on a Real Hilbert Space with an Orthonormal Basis: Standing Notation §weak, is tight in .
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