Let P, and P 2 be two probability measures on the same space and let 4> be the generalized Radon-Nikodyrn derivative of P 2 with respect to Pl' If Cis a continuous convex function of a real variable such that the Pl-expectation (generalized as in Section 3) of C(4)) provides a reasonable coefficient of the Pcdispersion of 4>, then this expectation has basic properties which it is natural to demand of a coefficient of divergence of P 2 from Pl' A general class of coefficients of divergence is generated in this way and it is shown that various available measures of divergence, distance, discriminatory information, etc., are members of this class.

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