Utility maximizing entropy and the second law of thermodynamics

Details Utility maximizing entropy and the second law of thermodynamics Utility maximizing entropy and the second law of thermodynamics

2004-10-05

arxiv.org/abs/math/0410115v1

Annals of Probability 2004, Vol. 32, No. 3A, 2261-2285

Mathematics

Probability

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imsta

Scientific paper

10.1214/009117904000000117

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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