The security issue in collaborative sensing in cognitive radio networks can be modeled within the framework of a jamming and anti-jamming scenario with attackers and secondary users. This leads to a stochastic zero-sum (Markovian) game model, which we adopt in this paper and study the resulting strategies. Primary users, secondary users and jammers are the three types of agents in the system. The primary users dictate the system states and their transitions while the secondary users and jammers behave non-cooperatively to achieve their goals independently. The Markovian game model captures not only the zero-sum interactions between secondary users and the jammers but also the dynamics of the system. The results obtained indicate that the secondary users can enhance their security levels or increase their long-term payoffs by either improving their sensing capabilities to confuse the jammer with the choice or choosing to communicate under states where the available channels are less prone to jamming. Results of numerical experiments included in the paper show that the payoffs of the secondary users increase with the number of available jamming-free channels and are eventually limited by the behavior of primary users.