An agent learns in continuous time from two information sources, each associated with a hypothesis. If a hypothesis is true, the associated source confirms it at a positive rate. False hypotheses are never confirmed. The agent's optimal learning strategy has two phases. During the first phase,...

An agent has to choose among a finite set of actions with payoffs depending on an unknown state of the world with two (possibly correlated) binary components, (θ1, θ2), θi∈{0,1}. Before making the choice, the agent can learn about the state by dynamically allocating his limited attention...