On Minimization and Maximization of Entropy in Various Disciplines

DOI10.1137/S0040585X9798052XMaRDI QIDQ4830865zbMATH OpenFDO

Authors V. P. Maslov, A. S. Cherny

Publication date 16 December 2004

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

entropyvolumedensityfree energyrelative entropydata compressionpressuretemperatureEsscher transformexponential utilitymetastable statemassstable stateGibbs stateminimal entropy martingale measureNernst theoremamount of informationKullback--Leibler informationaverage cost of codinginterior energy

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Martingales with discrete parameter (60G42) Measures of information, entropy (94A17) Statistical thermodynamics (82B30) Classical dynamic and nonequilibrium statistical mechanics (general) (82C05)

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Cited in

(22)

• Portfolio selection based on fuzzy cross-entropy
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Entropy maximization in finance
• Connections between entropic and linear projections in asset pricing estimation
• A relationship between the ordinary maximum entropy method and the method of maximum entropy in the mean
• Density reconstructions with errors in the data
• Option pricing with regime switching by trinomial tree method
• A generalized number theory problem applied to ideal liquids and to terminological lexis
• Numerical determination of hitting time distributions from their Laplace transforms: simple cases
• Relative and discrete utility maximising entropy
• Sample dependence in the maximum entropy solution to the generalized moment problem
• Explicit solution of relative entropy weighted control
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• The Fermi-Dirac distribution as a model of a thermodynamically ideal liquid. Phase transition of the first kind for neutral gases (corresponding to nonpolar molecules)
• Portfolio selection based on distance between fuzzy variables
• On the minimal entropy martingale measure for Lévy processes
• In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories
• On the entropy minimization problem in statistical mechanics
• Old mathematical errors in statistical physics
• Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• Portfolio selection models based on Cross-entropy of uncertain variables

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