My research interest lies in the fields of mathematical finance, stochastic analysis and statistics. I am interested to understand how statistical information (i.e. sufficient statistics) can be used to make an optimal strategy under exploration-exploitation trade-off with consistency in the decision. This problem leads to a number of areas in mathematics such as nonlinear expectations, Backward Stochastic Differential Equations (BSDE) and Snell's envelope theory. My current research is to generalise Gittins' index theorem to the set up under nonlinear expectation. This approach allows us to obtain consistency in the optimal decision under statistical learning.