Fixed Points for the q-Bass Martingale: Existence, Stability, and Convergence

Abstract

We establish existence, uniqueness, stability, and convergence results for one-dimensional q-Bass martingales, characterized as the martingales with prescribed initial and terminal marginals whose transition kernels are closest to a reference measure q. Their existence is equivalent to the solvability of a fixed-point problem for probability distributions. Building on Acciaio and Marini (2026), that requires the first marginal to be supported on finitely many points, we study the case of general marginals in convex order. Under the assumption that q≪λ, we prove existence, uniqueness and stability of fixed-point distributions, 𝒲_∞-convergence of the fixed-point iteration, and support-diameter estimates. We also extend the martingale Benamou-Brenier formula from Brownian motion to any additive reference process X and show that the corresponding X-Bass martingale is optimal whenever it exists, with an interpretation as an adapted Wasserstein projection of X.

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BibTeX RIS

BibTeX

@misc{acciaio2026fixed,
  title = {{Fixed Points for the $q$-Bass Martingale: Existence, Stability, and Convergence}},
  author = {Beatrice Acciaio and Antonio Marini},
  howpublished = {arXiv},
  year = {2026},
  month = sep,
  doi = {10.48550/arxiv.2609.07351},
  eprint = {2609.07351},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2609.07351},
}

RIS

TY  - UNPB
TI  - Fixed Points for the q-Bass Martingale: Existence, Stability, and Convergence
AU  - Beatrice Acciaio
AU  - Antonio Marini
PY  - 2026
DA  - 2026/09/07
PB  - arXiv
DO  - 10.48550/arxiv.2609.07351
UR  - https://arxiv.org/abs/2609.07351
AB  - We establish existence, uniqueness, stability, and convergence results for one-dimensional q-Bass martingales, characterized as the martingales with prescribed initial and terminal marginals whose transition kernels are closest to a reference measure q. Their existence is equivalent to the solvability of a fixed-point problem for probability distributions. Building on Acciaio and Marini (2026), that requires the first marginal to be supported on finitely many points, we study the case of general marginals in convex order. Under the assumption that q≪λ, we prove existence, uniqueness and stability of fixed-point distributions, 𝒲_∞-convergence of the fixed-point iteration, and support-diameter estimates. We also extend the martingale Benamou-Brenier formula from Brownian motion to any additive reference process X and show that the corresponding X-Bass martingale is optimal whenever it exists, with an interpretation as an adapted Wasserstein projection of X.
ER  -

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