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.
Publié le : 2004-07-14
Classification:
Entropy,
Markov operators,
utility maximization,
exactness,
H-theorem,
second law of thermodynamics,
37A50,
94A17,
60F25,
91B16,
49N15
@article{1089808425,
author = {S\l omczy\'nski, Wojciech and Zastawniak, Tomasz},
title = {Utility maximizing entropy and the second law of thermodynamics},
journal = {Ann. Probab.},
volume = {32},
number = {1A},
year = {2004},
pages = { 2261-2285},
language = {en},
url = {http://dml.mathdoc.fr/item/1089808425}
}
Słomczyński, Wojciech; Zastawniak, Tomasz. Utility maximizing entropy and the second law of thermodynamics. Ann. Probab., Tome 32 (2004) no. 1A, pp. 2261-2285. http://gdmltest.u-ga.fr/item/1089808425/