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

2026-09-07

AI Summary

本文解决了q-Bass鞅的固定点问题，通过证明存在性、唯一性、稳定性和收敛性，使用了概率分布的固定点方法，并扩展了鞅Benamou-Brenier公式。

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 $q\ll\lambda$, we prove existence, uniqueness and stability of fixed-point distributions, $\mathcal{W}_\infty$-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 $X$.

Problem

• q-Bass Martingale
• Existence
• Stability
• Convergence
• Fixed Points

Innovation

• q-Bass martingales
• fixed-point distributions
• stability and convergence
• general marginals in convex order
• adapted Wasserstein projection