A Short Proof of Strassen’s Theorem Using Convex Analysis

  • Benjamin Armbruster
    • Categories Stochastic Programming Tags Short URL: https://optimization-online.org/?p=12538

    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.

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    Northwestern Univ., Aug., 2013

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