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.
Citation
Wojciech Słomczyński. Tomasz Zastawniak. "Utility maximizing entropy and the second law of thermodynamics." Ann. Probab. 32 (3) 2261 - 2285, July 2004. https://doi.org/10.1214/009117904000000117
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