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Observation process \\(M_t\\) is described by SDE \\(d M_t = g(X_t)+dB_t\\) with \\(M_0=0\\) where \\(B_t\\) is an \\(\\ell\\)-dimensional standard Brownian motion independent of \\(W_t\\). The cost functional is \\(J(u^M)=\\mathbb{E}\\left(\\int_0^T f(t,X_t,u^M_t) dt + h(X_T)\\right)\\) where \\(u^M_t\\) is a control process based on observations of \\(M_t\\), \\(\\mathbb{E}\\) is the sign of mathematical expectation. The goal of the control is to find \\(u^*\\) such that \\(J(u^*)=\\inf_{u^M} J(u^M)\\). The optimal control process is determined numerically using gradient descent method according to the algorithm \\(u_t^{l+1,M}=u_t^{l,M}-\\rho J'_u(u_t^{l,M})\\), \\(l=0,1.\\dots\\), where \\(\\rho\\) is the step-size for the gradient. Here \\(J'_u(u_t^{l,M})\\) is a Gateaux derivative which can be determined by solving appropriate system of forward/backward SDE and is computed using Monte-Carlo simulations. 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