Sequential Hypothesis Testing Game

In this work, we study a stopping time game problem in sequential hypothesis testing, where both of the two players perform hypothesis testing with distinct hypotheses. The payoff of the players depends on the order of stopping times. Therefore, apart from designing the decision function concerning the hypotheses, the players also determine the optimal stopping timings. We investigate the cases where the time horizon is finite or infinite and provide sufficient conditions of finding the equilibrium point. Moreover, we fully characterize the structural properties of the equilibrium strategies.