Utility maximizing entropy and the second law of thermodynamics

• Wojciech Słomczyński ^[1] ; Tomasz Zastawniak ^[2]
  1. [1] Jagiellonian University

     Jagiellonian University

     Kraków, Polonia

     
  2. [2] University of Hull

     University of Hull

     Reino Unido

     
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 32, Nº. 3, 1, 2004, págs. 2261-2285
• Idioma: inglés
• DOI: 10.1214/009117904000000117
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.