Utility maximizing entropy and the second law of thermodynamics

• 成果类型: Article
• 署名作者: Slomczynski, W; Zastawniak, T
• 署名单位: Jagiellonian University; University of Hull
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117904000000117
• 发表日期: 2004
• 页码: 2261-2285
• 关键词: optimal investment; incomplete markets; maximization; INFORMATION; martingale

摘要

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.