  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.
