BFS 2002

Contributed Talk

Utility Maximising Entropy and Thermodynamic Equilibrium

Tomasz Zastawniak, Wojciech Slomczynski

Expected utility maximisation problems in mathematical finance lead to a generalisation 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 generalised entropies should tend to its minimum value of zero.