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Let $X, Y$ be non negative random variables with finite expectation. We say that $Y$ stochastically bounds $X$ if there exists some $C > 0$ such that for all $x \in \mathbb R$,

$$\mathbb P(X \geq x) \leq C \, \mathbb P(Y \geq x).$$

If $C$ can be taken equal to or less than $1$, we say that $Y$ stochastically dominates $X$.

Question: Suppose $Y$ stochastically bounds $X$. Does there exist some $C > 0$ such that $CY$ stochastically dominates $X$?

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    $\begingroup$ $C$ cannot be less than $1$ (consider $x\to-\infty$). $\endgroup$ Commented Jun 26 at 20:56

2 Answers 2

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Not if $C>1$. (The case $C=1$ is trivial, and $C$ cannot be $<1$.)

Indeed, let $H(x):=P(Y\ge x)$ and $G(x):=\min(1,CH(x))$ for real $x$. Then $G(x)=P(X\ge x)$ for some random variable $X$ and all real $x$ (because $G$ is a left-continuous function decreasing, non-strictly, from $1$ to $0$ on $\Bbb R$). Moreover, the condition $P(X\ge x)\le CP(Y\ge x)$ obviously holds for all real $x$.

If $KY$ stochastically dominates $X$ for some real $K>0$, then $H(x/K)=P(KY\ge x)\ge P(X\ge x)=G(x)=\min(1,CH(x))$ for all real $x$. But this cannot be true for $x$ in some right neighborhood of $0$ if $H(0+)=1$ but $H(x)<1$ for $x>0$.


The OP asked if we can ensure $$P(X\ge x)\le P(KY\ge x)$$ for some $K>0$ and all large enough $x$. The answer here is also no, if $C>1$. Indeed, suppose that $$P(Y\ge x)=\frac1{\ln x}$$ for $x\ge e$ and $$P(X\ge x)=\min(1,CP(Y\ge x))$$ for all real $x$. Then the condition $P(X\ge x)\le CP(Y\ge x)$ obviously holds for all real $x$. However, for any $C>1$, any real $K>0$, and all large enough $x>0$, $$P(X\ge x)=CP(Y\ge x)=\frac C{\ln x}\not\le \frac1{\ln(x/K)}=P(KY\ge x).$$

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  • $\begingroup$ Very nice solution, thank you. As an aside, I wonder if it is true if we only ask for the tails to be stochastically dominated, i.e. $\mathbb P(X \geq x) \leq \mathbb P(CY \geq x)$ for all large enough $x$. $\endgroup$
    – Nate River
    Commented Jun 27 at 4:22
  • $\begingroup$ @NateRiver is “tail stochastic dominance” a preexisting/well-known notion? My interest has nothing to do with your question, it’s just something that’s shown up in some of my work that would be nice to point to something well-known? $\endgroup$ Commented Jun 27 at 6:45
  • $\begingroup$ @MarkSchultz-Wu Not that I know of, but it is a pretty natural notion... $\endgroup$
    – Nate River
    Commented Jun 27 at 10:00
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    $\begingroup$ @NateRiver : Thank you for your appreciation. Now your additional question has been answered as well. $\endgroup$ Commented Jun 27 at 13:19
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This does not hold, at least if you want a constant independent of $Y$. This can be seen by letting $X$ be uniform on $I_0 :=[0,1]$, and $Y$ be uniform on $I_0\cup I_1$ for $I_1 := [D, D+1]$ with $D$ sufficiently large. Then, $Y$ stochastically bounds $X$ (with constant 2), but does not stochastically dominate $X$ (one would need to choose $C$ dependent on $Y$, specifically dependent on $D$).

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  • $\begingroup$ Ah, the constant is allowed to depend on $X, Y$. $\endgroup$
    – Nate River
    Commented Jun 27 at 4:08

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