Related papers: Fluctuation theorems and expected utility hypothes…

We study nonequilibrium fluctuation theorems in the presence of a time-reversal symmetry-breaking field and nonconservative forces, in a stochastic as well as a deterministic set up. We consider a system and a heat bath, called the combined…

Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…

Fluctuation theorems specify the non-zero probability to observe negative entropy production, contrary to a naive expectation from the second law of thermodynamics. For closed particle trajectories in a fluid, Stokes theorem can be used to…

Turbulent flows are out-of-equilibrium because the energy supply at large scales and its dissipation by viscosity at small scales create a net transfer of energy among all scales. Here, the energy cascade is approximated by a combined…

The law of maturity is the belief that less-observed events are becoming mature and, therefore, more likely to occur in the future. Previous studies have shown that the assumption of infinite exchangeability contradicts the law of maturity.…

In the last ten years, a number of ``Conventional Fluctuation Theorems'' have been derived for systems with deterministic or stochastic dynamics, in a transient or in a non-equilibrium stationary state. These theorems gave explicit…

This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a…

This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…

Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…

A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…

The thermodynamic uncertainty relation (TUR) provides a universal entropic bound for the precision of the fluctuation of the charge transfer for example for a class of continuous time stochastic processes. However, its extension to general…

We describe and develop a close relationship between two problems that have customarily been regarded as distinct: that of maximizing entropy, and that of minimizing worst-case expected loss. Using a formulation grounded in the equilibrium…

The influence of a fixed number of agents with the same fixed behavior on the dynamics of the minority game is studied. Alternatively, the system studied can be considered the minority game with a change in the comfort threshold away from…

Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…

We discuss an extension of the fluctuation theorem to stochastic models that, in the limit of zero external drive, are not able to equilibrate with their environment, extending results presented by Sellitto (cond-mat/9809186). We show that…

The work content of non-equilibrium systems in relation to a heat bath is often analyzed in terms of expectation values of an underlying random work variable. However, we show that when optimizing the expectation value of the extracted…

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…

For gambling on horses, a one-parameter family of utility functions is proposed, which contains Kelly's logarithmic criterion and the expected-return criterion as special cases. The strategies that maximize the utility function are derived,…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

The second law of thermodynamics posits that in closed macroscopic systems the rate of entropy production must be positive. However, small systems can exhibit negative entropy production over short timescales, seemingly in contradiction…