Hurst–Kolmogorov dynamics as a result of extremal entropy production

Demetris Koutsoyiannis

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 8, 1424-1432

Abstract: It is demonstrated that extremization of entropy production of stochastic representations of natural systems, performed at asymptotic times (zero or infinity) results in constant derivative of entropy in logarithmic time and, in turn, in Hurst–Kolmogorov processes. The constraints used include preservation of the mean, variance and lag-1 autocovariance at the observation time step, and an inequality relationship between conditional and unconditional entropy production, which is necessary to enable physical consistency. An example with real world data illustrates the plausibility of the findings.

Keywords: Stochastic processes; Long-term persistence; Hurst–Kolmogorov dynamics; Entropy; Uncertainty; Extremal entropy production (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:8:p:1424-1432

DOI: 10.1016/j.physa.2010.12.035

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