With cookies: this is done all the time for retargeting (those ads that follow you around the web). When you visit website X, it gets ad-exchange Y to leave a

With cookies: this is done all the time for retargeting (those ads that follow you around the web). When you visit website X, it gets ad-exchange Y to leave a cookie on your browser to tag you as having Y-id and associates your X-id with that Y-id. When you then visit site Z, that site requests an ad from ad-exchange Y, which gets its cookie back, and sends out bid-requests for the user with Y-id, which can then be remapped by X to an X-id.