Existence of $q$-Bass martingales in the semidiscrete setting

Beatrice Acciaio; Antonio Marini

Existence of $q$-Bass martingales in the semidiscrete setting

Probability 2026-07-17 v1 Mathematical Finance

Authors: Beatrice Acciaio , Antonio Marini

Abstract

The class of $q$ -Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal marginals whose transition kernel remains as close as possible to a given reference measure $q$ . We prove the existence of $q$ -Bass martingales when the initial marginal is supported on finitely many atoms, and establish uniqueness, up to an additive translation constant, of the associated Bass measure. Our approach is geometric and relies on the analysis of a suitable parametrization of convex polygonal chains.

Keywords

q-Bass martingale martingale optimal transport transition kernel marginal distribution convex polygonal chain

Cite

@article{arxiv.2607.15872,
  title  = {Existence of $q$-Bass martingales in the semidiscrete setting},
  author = {Beatrice Acciaio and Antonio Marini},
  journal= {arXiv preprint arXiv:2607.15872},
  year   = {2026}
}