Step 1Pour the wine into a small heavy-bottomed saucepan. Add the shallot, thyme and bay leaf. Bring to a simmer over medium-high heat and cook for about 8 to 10 minutes, until the liquid is reduced to about 2 tablespoons.
Step 2Add the veal stock, Madeira and peppercorns and simmer over medium-high heat for 8 to 10 minutes, until reduced to about one-third cup.
Step 3Strain the reduction into another small saucepan. Add the glace, salt, butter, lemon juice and marrow, if using, and swirl to combine over low heat, until the sauce comes together and the marrow just begins to melt, about 3 minutes. Serve immediately.