Synthesis of an optimal control for continuous Markov processes by semidefinite quality criteria

Optimization of control of continuous Markov processes by semidefinite qual ity functionals with nonadditive control cost functions is investigated. Eq uation for the loss function, its parameters for different integrands in th e quality criterion, and its interrelation with the Fokker-Planck-Kolmogoro v equation for the auxiliary noncontrollable Markov processes are determine d. Examples are given.