This study aims to characterize the EEG correlates of exploratory behavior. Decision making in an uncertain environment raises a conflict between two opposing needs: gathering information about the environment and exploiting this knowledge in order to optimize the decision. Exploratory behavior has already been studied using fMRI. Based on a usual paradigm in reinforcement learning, this study has shown bilateral activation in the frontal and parietal cortex. To our knowledge, no previous study has been done on it using EEG. The study of the exploratory behavior using EEG signals raises two difficulties. First, the labels of trial as exploitation or exploration cannot be directly derived from the subject action. In order to access this information, a model of how the subject makes his decision must be built. The exploration related information can be then derived from it. Second, because of the complexity of the task, its EEG correlates are not necessarily time locked with the action. So the EEG processing methods used should be designed in order to handle signals that shift in time across trials. Using the same experimental protocol as the fMRI study, results show that the bilateral frontal and parietal areas are also the most discriminant. This strongly suggests that the EEG signal also conveys information about the exploratory behavior.