Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system

Abstract

In this paper, we investigate open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. Interestingly, these two solvabilities are equivalent on [0, T). We first provide an alternative characterization of the open-loop solvability of LQ problem using a perturbation approach. Then, we study the weak closed-loop solvability of LQ problem of Markovian regime switching system, and establish the equivalent relationship between open-loop and weak closed-loop solvabilities. Finally, we present an example to shed on light on finding weak closed-loop optimal strategies within the framework of Markovian regime switching system.