Maxwell's Demon Walks into Wall Street: Stochastic Thermodynamics Meets Expected Utility Theory.

The interplay between thermodynamics and information theory has a long history, but its quantitative manifestations are still being explored. We import tools from expected utility theory from economics into stochastic thermodynamics. We prove that, in a process obeying Crooks's fluctuation relations, every α Rényi divergence between the forward process and its reverse has the operational meaning of the "certainty equivalent" of dissipated work (or, more generally, of entropy production) for a player with risk aversion r=α-1.