A stochastic control problems

Traditionally most research in stochastic control has been directed toward the LQG or related problems wherein one is attempting to solve a deterministic control problem in the presence of noise. This may take the form of measurement noise and/or source noise but in either case the noise is a perturbation on a deterministic signal and not the fundamental process underlying the control problem. The purpose of the present paper is to review some research dealing with the problem of "controlling a stochastic process." That is: the fundamental signal that the plant is required to follow is itself a stochastic process.