 Solution

Put $D=d_2(\mu ,\nu )$ and $z_t(x,y)=(1-t)x+ty$. The marginal distributions of the optimal transport plan $\Pi$ give ${\mu }_0=\mu$ and ${\mu }_1=\nu$. Alsoso ${\mu }_t$ has a finite second absolute moment. For $0\le s<t\le 1$, the pushforward measure $(z_s,z_t{)}_{\#}\Pi$ is a coupling of ${\mu }_s,{\mu }_t$. ThereforeApply the triangle inequality for the second Wasserstein distance along ${\mu }_0,{\mu }_s,{\mu }_t,{\mu }_1$:All inequalities are equalities, including when $D=0$. Thus this displacement interpolation is a constant speed metric geodesic: