## The Annals of Probability

### Utility maximizing entropy and the second law of thermodynamics

#### 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.

#### Article information

Source
Ann. Probab., Volume 32, Number 3 (2004), 2261-2285.

Dates
First available in Project Euclid: 14 July 2004

https://projecteuclid.org/euclid.aop/1089808425

Digital Object Identifier
doi:10.1214/009117904000000117

Mathematical Reviews number (MathSciNet)
MR2073191

Zentralblatt MATH identifier
1047.60101

#### Citation

Słomczyński, Wojciech; Zastawniak, Tomasz. Utility maximizing entropy and the second law of thermodynamics. Ann. Probab. 32 (2004), no. 3, 2261--2285. doi:10.1214/009117904000000117. https://projecteuclid.org/euclid.aop/1089808425

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