A divergence measure plays an important role in discriminating two probability distributions and drawing inferences based on such discrimination. This communication introduces one such divergence measure based on Jensen inequality and exponential entropy introduced by Pal and Pal in the settings of probability theory. Further, the idea has been generalized to fuzzy sets to introduce a new fuzzy divergence measure. Besides establishing the validity, some of its major properties are also studied. At last, the application of proposed fuzzy divergence measure is given in strategic decision-making.
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