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Utility maximizing entropy and the second law of thermodynamics

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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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
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
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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