10 citations · 11 across the 10 of their papers we have counts for
3 papers · 1 filter
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Martin Brown, Tomasz Zastawniak
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step pro…
Relative and Discrete Utility Maximising Entropy
Grzegorz Harańczyk, Wojciech Słomczyński, Tomasz Zastawniak
The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:…
Utility maximizing entropy and the second law of thermodynamics
Wojciech Slomczynski, Tomasz Zastawniak
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 c…