Existence of Bass martingales and the martingale Benamou$-$Brenier problem in ${\mathbb{R}}^d$

Abstract

In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. In this article, we characterize solutions to the martingale Benamou$-$Brenier problem as $\text{Bass martingales}$, i.e. transformations of Brownian motion through the gradient of a convex function. Our result is based on a new (static) Brenier-type theorem for a particular weak martingale optimal transport problem. As in the classical case, the structure of the primal optimizer is derived from its dual counterpart, whose derivation forms the technical core of this article. A key challenge is that dual attainment is a subtle issue in martingale optimal transport, where dual optimizers may fail to exist, even in highly regular settings.

48 pages, 4 figures