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July 2004 Utility maximizing entropy and the second law of thermodynamics
Wojciech Słomczyński, Tomasz Zastawniak
Ann. Probab. 32(3): 2261-2285 (July 2004). DOI: 10.1214/009117904000000117

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.

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Wojciech Słomczyński. Tomasz Zastawniak. "Utility maximizing entropy and the second law of thermodynamics." Ann. Probab. 32 (3) 2261 - 2285, July 2004. https://doi.org/10.1214/009117904000000117

Information

Published: July 2004
First available in Project Euclid: 14 July 2004

zbMATH: 1047.60101
MathSciNet: MR2073191
Digital Object Identifier: 10.1214/009117904000000117

Subjects:
Primary: 37A50
Secondary: 49N15 , 60F25 , 91B16 , 94A17

Keywords: Entropy , exactness , H-theorem , Markov operators , second law of thermodynamics , utility maximization

Rights: Copyright © 2004 Institute of Mathematical Statistics

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Vol.32 • No. 3 • July 2004
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