We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris (1999)), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. The DM entertains Multiplier preferences a la Hansen and Sargent (2001), thus we frame the decision making environment as a two-player differential game against nature in continuous time. We characterize the DM value function and her optimal experimentation strategy that turns out to follow a cut-off rule with respect to her belief process. The belief threshold for exploring the ambiguous arm is found in closed form and is shown to be increasing with respect to the ambiguity aversion index. We then study the effect of provision of an unambiguous information source about the ambiguous arm. Interestingly, we show that the exploration threshold rises unambiguously as a result of this new information source, thereby leading to more conservatism. This analysis also sheds light on the efficient time to reach for an expert opinion.

本研究通过对DM在双臂赌博环境中的实验动态进行研究，明确了决策者面临的实验决策最优策略，同时通过提供信息源，揭示了对于游走在不确定性中的一臂的阈值会上升，导致更多的保守性，并且为专家意见的获取提供了便利。

连续时间赌博机问题的稳健实验