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.
Exploratory optimal stopping: A singular control formulation
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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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