In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Markov decision problem, where the ambiguity set of probability kernels of the distributionally robust Markov decision process is described by a Wasserstein ball around some reference kernel whereas the non-robust Markov decision process behaves according to a fixed probability kernel contained in the ambiguity set. Our derived upper bound for the difference between the value functions is dimension-free and depends linearly on the radius of the Wasserstein ball.
