Utility maximizing entropy and the second law of thermodynamics
Probability
2007-05-23 v1
Abstract
Expected utility maximization problems in mathematical finance lead to a generalization of the classical definition of entropy. It is demonstrated that a necessary and sufficient condition for the second law of thermodynamics to operate is that any one of the generalized entropies should tend to its minimum value of zero.
Keywords
Cite
@article{arxiv.math/0410115,
title = {Utility maximizing entropy and the second law of thermodynamics},
author = {Wojciech Slomczynski and Tomasz Zastawniak},
journal= {arXiv preprint arXiv:math/0410115},
year = {2007}
}
Comments
Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000117