What do you mean with
? People typically compare conditional welfare at the steady state or unconditional welfare (search the forum, e.g. Welfare cost of business cycles - #10 by jpfeifer). Both will take the stochastic properties of the model into account. The resulting number (Welfare1 in your notation) is then transformed relative to a steady state object (welfare 0) that features no shocks at all. But that latter regime is just a comparison object.