Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an LQ problem for an SDE with the coefficients being adapted to a filtration independent of the Brownian motion driving the control system. Classical approach of completing the square is applied to the current problem and obvious shortcomings are indicated. Open-loop and closed-loop solvability are introduced and characterized.
