Utility maximizing entropy and the second law of thermodynamics

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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.
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

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Probability, 37A50 (Primary) 94A17, 60F25, 91B16, 49N15. (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/72752

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0410115
 http://arxiv.org/abs/math/0410115
 Annals of Probability 2004, Vol. 32, No. 3A, 2261-2285
 doi:10.1214/009117904000000117

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