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Published on: September 19, 2012
Fluctuation theorems and expected utility hypothesis
Gianluca Francica1, Luca Dell'Anna1
1Dipartimento di Fisica e Astronomia e Sezione INFN, Università di Padova, via Marzolo 8, 35131 Padova, Italy.
Abstract:
The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility. In particular, we wonder whether entropy could serve as a guideline for gambling. We prove the existence of a bound involving the certainty equivalent which depends on the entropy produced. Then, we examine the dependence of the certainty equivalent on the entropy by looking at specific situations, in particular, the work extraction from a nonequilibrium initial state.
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