On a numerical method то develop stochastic systems of optimal control

In developing of optimal controls for dynamics systems whose perturbations make Gaussian white noise with an allowance for constraints on the admissible values of control signals an optimal system is designed by solving the Bellman equation numerically. Boundary value conditions for the loss function are specified in a new way. For a specific hardware which dampens random oscillations a difference technique is proposed which solves the design problem and represents the solution.