Generalized Divergence Measures and Weak Convergence for the Sets of Probability Measures

Abstract: This paper extends the asymmetric Kullback-Leibler divergence and symmetric Jensen-Shannon divergence from two probability measures to the case of two sets of probability measures. We establish some fundamental properties of these generalized divergences, including a duality formula and a Pinsker-type inequality. Furthermore, convergence results are derived for both the generalized asymmetric and symmetric divergences, as well as for weak convergence under sublinear expectations.