We associate to the pth Rényi entropy a definition of entropy power, which is the natural extension of Shannon's entropy power and exhibits a nice behavior along solutions to the p-nonlinear heat equation in Rn. We show that the Rényi entropy power of general probability densities solving such equations is always a concave function of time, whereas it has a linear behavior in correspondence to the Barenblatt source-type solutions. This result extends Costa's concavity inequality for Shannon's entropy power to Rényi entropies.
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Savaré et al. (2014) studied this question.
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