A Short Proof of Strassen's Theorem Using Convex Analysis
Probability
2016-03-02 v1 Optimization and Control
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.
Cite
@article{arxiv.1603.00137,
title = {A Short Proof of Strassen's Theorem Using Convex Analysis},
author = {Benjamin Armbruster},
journal= {arXiv preprint arXiv:1603.00137},
year = {2016}
}