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Utility Maximizing Entropy and the Second Law of Thermodynamics

Wojciech Słomczyński and Tomasz Zastawniak
The Annals of Probability
Vol. 32, No. 3, A (Jul., 2004), pp. 2261-2285
Stable URL: http://www.jstor.org/stable/3481609
Page Count: 25
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Utility Maximizing Entropy and the Second Law of Thermodynamics
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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.

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