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arXiv · 1603.00137

A Short Proof of Strassen's Theorem Using Convex Analysis

Benjamin Armbruster
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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.

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Benjamin Armbruster. 2016-03-01. A Short Proof of Strassen's Theorem Using Convex Analysis. https://arxiv.org/abs/1603.00137

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