most recent 30 from http://mathoverflow.net 2013-05-24T12:34:12Z http://mathoverflow.net/feeds/question/91379 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/91379/entropy-of-gaussian-distribution Kostas 2012-03-16T15:59:51Z 2012-03-16T15:59:51Z

<p>I understand the general meaning of entropy, but what does entropy of a Gaussian distribution in particular mean, how can one interpret it? </p> <p>I'm looking for a pricing formula to generate a price that an agent is willing to pay. The agent is uncertain how much is going to offer, however, I assume knowledge of the distribution of prices in the market and the price the agent will be willing to pay will be drawn from a similar distribution with some uncertainty. Supposing Gaussian distribution of prices in the market, can the entropy of the distribution be of any use and if yes, how can I incorporate it in the formula if it's measured in nats?</p> <p>Many thanks </p>