Square Root Convexity of Fisher Information along Heat Flow in Dimension Two

Abstract

Recently, Ledoux, Nair, and Wang proved that the Fisher information along the heat flow is log-convex in dimension one, that is d2dt2log(I(Xt))≥0 for n=1, where Xt is a random variable with density function satisfying the heat equation. In this paper, we consider the high dimensional case and prove that the Fisher information is square root convex in dimension two, that is d2dt2IX≥0 for n=2. The proof is based on the semidefinite programming approach.