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
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.
|Institution:||The University of York|
|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|
|Publisher:||The Institute of Mathematical Statistics|