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The state and output equations have the form  \\[ dx(t)=\\bigl[ A(x,t)+B(x,t)u+ w(t)\\bigr]dt+ N(x,t)d\\xi(t)\\tag{1} \\]   \\[ dy=C(t)xdt+ d\\eta(t) \\tag{2} \\]  where \\(x\\in R^n\\), \\(y\\in R^p\\) and \\(u\\in R^r\\) are state, observation and control vectors, respectively; \\(A(x,t)\\), \\(w(t)\\) are vector deterministic functions, \\(B(x,t)\\), \\(N(x,t)\\) and \\(C(t)\\) are matrix deterministic functions; \\(\\xi(t)\\) and \\(\\eta(t)\\) are Gaussian-centered white noises with zero mean values and intensity matrices \\(G(t)\\) and \\(Q(t)\\), respectively. The initial vector of the state \\(x_0\\) is a random variable with given mean value and variance matrix. The vector of control is bounded; i.e., \\(u\\in U\\), \\(| u_i|\\leq u_{i0}\\), \\(i=1, \\dots,r\\). The criterion \\(I_{0t}\\) is taken in the form of the generalized square function. The problem consists in the choice of the optimal control vector \\(u\\) for the stochastic system (1) from the condition  \\[ u={\\underset {u\\in U} {\\text{argmin}}} E\\bigl[I_{0t}\\mid y(\\tau),t_0\\leq \\tau\\leq t\\bigr] \\tag{3} \\]  at an arbitrary moment in the observation of the vector \\(Y(\\tau)\\). The solution was found by a combination of Taylor or statistical linearization and Kalman filtering. An example illustrates the results 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