Hi Paul,
There is nothing built-in for this, but there are a few approaches I've seen people take:
1. Validate links at publish.
2. Validate links at review.
3. Validate links via redirector.
#1 basically means PE would check the links as it publishes. This can slow the publish process down, unless you have a validation cache to check against.
#2 means add a function that can be manually triggered by reviewers (editors?) to check all links in the current document while open in an Editor session.
#3 means all links that you publish are actually links to your own link redirector service (think tinyurl.com). Your link redirector service is now a single point of failure for your users, however it does give you control over where their links end up. If a broken link is found, you change it on your redirector service and all users will automatically forward to the new location without having to re-publish to them. Also you can do sneaky things like check what users are clicking to what links etc.
There might be other ways to crack this nut, but those are three common approaches I've seen.
// Gareth Oakes
// Chief Architect, GPSL
// www.gpsl.co