A Short Proof of Strassen's Theorem Using Convex Analysis

2016/03/01 by Benjamin Armbruster, Armbruster, Benjamin
Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.1603.00137

openalex publication_date 2016/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• Equivalent Comparisons of Experiments

Related

• Dual solutions in convex stochastic optimization
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Higher-Order Stochastic Dominance Constraints in Optimization
• Duality in convex stochastic optimization
• Convex duality for stochastic singular control problems