Design of optimal state controller robust to external disturbance for one class of nonstationary stochastic systems

Consideration was given to the problem of optimal control of a stochastic dynamic system subject to uncontrollable stochastic disturbances. The system is defined over a finite time interval, and its diffusion coefficient depends linearly on the state vector, control signal, and external disturbance. The feedback controller was assumed to be nonstationary, and linear in the state vector. A law of optimal control robust to the external disturbance was established.