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A Short Proof of Strassen's Theorem Using Convex Analysis

Benjamin Armbruster (armbruster***at***northwestern.edu)

Abstract: We give a simple proof of Strassen's theorem on stochastic dominance using linear programming duality, without requiring measure-theoretic arguments. The result extends to generalized inequalities using conic optimization duality and provides an additional, intuitive optimization formulation for stochastic dominance.

Keywords: stochastic dominance

Category 1: Stochastic Programming

Citation: Northwestern Univ., Aug., 2013

Download: [PDF]

Entry Submitted: 08/20/2013
Entry Accepted: 08/21/2013
Entry Last Modified: 10/19/2013

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