Change arrow style for default expansion panel arrow

Yes it is possible. Give your expansion panel a reference id e.g. example and set the hideToggle property as true.

In the <md-panel-description>, you can place your icons and use the expanded property of the panel to show or hide the relevant icons.

  <md-expansion-panel  class="custom-header" hideToggle="true" #example>
    <md-expansion-panel-header>
      <md-panel-title>
        Personal data
      </md-panel-title>
      <md-panel-description>
        Type your name and age
        <md-icon *ngIf="!example.expanded">play_arrow</md-icon>
        <md-icon *ngIf="example.expanded">arrow_drop_down</md-icon>
      </md-panel-description>
    </md-expansion-panel-header>

    <md-form-field>
      <input mdInput placeholder="First name">
    </md-form-field>

    <md-form-field>
      <input mdInput placeholder="Age">
    </md-form-field>
  </md-expansion-panel>

To provide space between the icon and panel description, add the following classes in your component.css:

.custom-header .mat-expansion-panel-header-title, 
.custom-header .mat-expansion-panel-header-description {
  flex-basis: 0;
}

.custom-header .mat-expansion-panel-header-description {
  justify-content: space-between;
  align-items: center;
}

I have used material icons. You can place your custom icons if you want. Here is a link to stackblitz demo.

extended the answer from @Faisal and as per the latest version of angular material, we will use mat prefix instead of md for the Material components.

Angular Material 8.1.4

<mat-expansion-panel class="mb-15px" hideToggle="true" #xyz>
<mat-expansion-panel-header>
  <mat-panel-title class="font-weight-bold font-small">
    Info
  </mat-panel-title>
  <mat-panel-description>
    <mat-icon *ngIf="!xyz.expanded">play_arrow</mat-icon>
    <mat-icon *ngIf="xyz.expanded">arrow_drop_down</mat-icon>
  </mat-panel-description>
</mat-expansion-panel-header>
<mat-expansion-panel class="mb-15px" hideToggle="true" #xyz>

Stackblitz Demo