Utility maximizing entropy and the second law of thermodynamics

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dc.creatorSlomczynski, Wojciech
dc.creatorZastawniak, Tomasz
dc.date2004-10-05
dc.date.accessioned2026-07-07T05:12:54Z
dc.date.available2026-07-07T05:12:54Z
dc.descriptionExpected 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.
dc.descriptionPublished 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
dc.identifierhttps://arxiv.org/abs/math/0410115
dc.identifierhttp://arxiv.org/abs/math/0410115
dc.identifierAnnals of Probability 2004, Vol. 32, No. 3A, 2261-2285
dc.identifierdoi:10.1214/009117904000000117
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/72752
dc.subjectProbability
dc.subject37A50 (Primary) 94A17, 60F25, 91B16, 49N15. (Secondary)
dc.titleUtility maximizing entropy and the second law of thermodynamics
dc.typetext

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