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Using a backstepping procedure, the authors constructed the state-feedback control \\(\\mu^*\\), which satisfies the following 3 conditions.   1. \\(\\mu^*\\) is optimal for the linearized risk-sensitive design, which implies that the linear exponential quadratic Gaussian problem is solved. Namely, \\(\\mu^*\\) is locally optimal.   2. For a given nonlinear systems there exists an appropriate cost function, according to which \\(\\mu^*\\) is optimal. 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