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Cognitive radio technology has become a promising approach to increase the efficiency of spectrum utilization. Since cognitive radio users are vulnerable to malicious attacks, security countermeasures are crucial to the successful deployment of cognitive radio networks in the future. In this paper, we focus on defending against the jamming attack, one of the major threats to cognitive radio networks, where several malicious attackers intend to jam the secondary user's communication link by injecting interference. We model this scenario into a jamming game, and derive the optimal strategy through the Markov decision process approach. Furthermore, a learning scheme is proposed for the secondary user to observe the wireless environment and estimate parameters such as primary users' access pattern and the number of attackers. Finally, simulation results are presented to verify the performance.