On a structure of a minimax test in testing composite hypotheses

Krafft and Witting (1967) suggested a dual optimization problem whose solution allows us to characterize a minimax test in testing composite hypotheses. An important contribution to this problem was done by Cvitanic and Karatzas (2001). In this talk we propose weaker conditions under which it is possible to characterize a minimax test through a solution of a slightly different dual problem.