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