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 static, nonstationary,
and linear in the state vector. A law of optimal control robust to the external disturbance was
established.