Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system (Q2045127)

Assuming a quite general quadratic cost functional, the authors investigate the open-loop and weak closed-loop solvabilities of the optimal control problem for the \(n\)-dimensional process \(\{X_s; t\le s\le T\}\) solving \[ dX_s= [A(s,\alpha_s)X_s+ B(s,\alpha_s)u_s+ b_s]\,d_s+ [C(s,\alpha_s)\,X_s+ D(s,\alpha_s)u_s+ \sigma_s]\,dW_s, \] \(t\le s\le T\), \(X_t= x\), \(\alpha_t= I\), where \(\alpha\) is a Markov chain with a finite number of states, \(u\) the control process, \(A\) and \(C\) are \(n\times n\)-matrices, \(B\) and \(D\) are \(n\times m\)-matrices, \(b\) and \(a\) are \(n\)-dimensional vectors, and \(W\) is standard one-dimensional Brownian motion. Using the perturbation approach by \textit{J. Sun} et al. [SIAM J. Control Optim. 54, No. 5, 2274--2308 (2016; Zbl 1347.49033)], an alternative characterization of the open-loop solvability is given. Then, extending the result by \textit{H. Wang} et al. [Discrete Contin. Dyn. Syst. 39, No. 5, 2785--2805 (2019; Zbl 1410.93149)], it is shown how to obtain a weak closed-loop optimal strategy. Finally, the equivalence of open-loop solvability and weak closed-loop solvability is established, thus completing research by \textit{X. Zhang}, \textit{X. Li} and \textit{J. Xiong} [``Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markov regime-switching system'', ESAIM: COCV 27, Article No. 69, 35 p. (2021; \url{doi:10.1051/cocv/2021066})]. A non-trivial example illustrating the results is provided.