Słomczyński, W. and Zastawniak, T. (2004) Utility maximizing entropy and the second law of thermodynamics. Annals of Probability, 32 (3). pp. 2261-2285. ISSN 0091-1798
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Published Version: http://dx.doi.org/10.1214/009117904000000117
Abstract
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.
| Item Type: | Article |
|---|---|
| Academic Units: | The University of York > Mathematics (York) |
| Depositing User: | York RAE Import |
| Date Deposited: | 13 Aug 2009 10:39 |
| Last Modified: | 13 Aug 2009 10:39 |
| Published Version: | http://dx.doi.org/10.1214/009117904000000117 |
| Status: | Published |
| Publisher: | The Institute of Mathematical Statistics |
| Identification Number: | 10.1214/009117904000000117 |
| URI: | http://eprints.whiterose.ac.uk/id/eprint/5592 |
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