The objective of this paper is to study by means of dynamic programmin
g the optimal control of nonlinear continuous systems. We apply to the
se systems a development of block pulse for the state and a nonuniform
discretisation of the state space. As a particular case of a nonlinea
r system, we analysed a continuous dual control problem, and we carrie
d out an implementation of a stochastic control policy on a real proce
ss, a DC motor.