Generalized relative entropies with a real parameter q are proposed for Mar
kovian stochastic processes, and the associated H-theorem is proved. The pr
oposed entropies play the role of a Lyapunov function as the standard relat
ive entropy known as the Kullback-Leibler divergence does. The H-theorem ca
n be applied to Tsallis statistics: and it is shown that the nonequilibrium
free energy, consistently defined based on the generalized entropy in the
framework of Tsallis statistics, monotonically decreases to attain its equi
librium value.