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)

Full work available at URL https://doi.org/10.1137/S0040585X9798052X

zbMATH Keywords

amount of informationaverage cost of codingdata compressiondensityentropyEsscher transformexponential utilityfree energyGibbs stateinterior energyKullback--Leibler informationmassmetastable stateminimal entropy martingale measureNernst theorempressurerelative entropystable statetemperaturevolume

Mathematics Subject Classification ID

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

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Cited in

(22)

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

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