Convexity of Mutual Information along the Fokker-Planck Flow

Abstract: We study the convexity of mutual information as a function of time along the Fokker-Planck flow. The results are generalizations of that along heat flow and Ornstein-Ulenbeck flow, which were established by A. Wibisono and V. Jog. We prove the existence and uniqueness of the classical solutions to a class of Fokker-Planck equations and then we obtain the second derivative of mutual information along the Fokker-Planck equation. If the initial distribution is sufficiently strongly log-concave compared to the steady state, then mutual information always preserves convexity under suitable conditions. In particular, if there exists some time point at which the distribution is sufficiently strongly log-concave, then mutual information will preserve convexity after that time.