Stochastic Dominance Under Independent Noise

Luciano Pomatto
Luciano Pomatto

Journal of Political Economy, 2019.

Cited by: 1|Bibtex|Views5|

Abstract:

We ask the following question: Given two random variables, $X$ and $Y$, under what conditions is it possible to find a random variable $Z$, independent from $X$ and $Y$, so that $X+Z$ first-order stochastically dominates $Y+Z$ ? We show that such a $Z$ exists whenever $X$ has higher expectation than $Y$. In addition, if $X$ and $Y$ have e...More

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