Solutions to the regularized exploratory equilibrium HJB equation converge in suitable norms to a strong solution of the original EHJB as the entropy parameter vanishes, yielding existence of equilibria without conventional stringent regularity assumptions.
Randomized optimal stopping problem in continuous time and reinforcement learning algorithm.SIAM Journal on Control and Optimization, 62(3):1590–1614
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Equilibrium under Time-Inconsistency: A New Existence Theory by Vanishing Entropy Regularization
Solutions to the regularized exploratory equilibrium HJB equation converge in suitable norms to a strong solution of the original EHJB as the entropy parameter vanishes, yielding existence of equilibria without conventional stringent regularity assumptions.
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