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Control Optimization 34, No. 1, 161-178 (1996; Zbl 0867.93085)] but considering the case of a stochastic control model admitted a diffusion approximation, they show in the present paper that an optimal Lipschitz feedback control of the limit model NEWLINE\\[NEWLINEdX_t = [A_0 (t,X_t)+ a_1 (t,X_t)u_t] dt + B(t, X_t) dW_tNEWLINE\\]NEWLINE with the cost \\( J(u)= E \\{ \\text{int}_0^T [p(t,X_t) +q(t,u_t)] dt +r(X_T) \\}\\) remains asymptotically optimal feedback for a family of controlled stochastic processes (prelimit models), indexed by a small parameter and associated with the same cost, whose dynamics are perturbed by additive stationary elements (wideband noises and martingales), a fast-fluctuating external process that contaminates some of the coefficients, as well as noises inducing singularly perturbed processes.NEWLINENEWLINENEWLINEHere, \\( A_0\\) and \\(B^2\\) depend on the invariant measure of the external process and the asymptotic intensity of the quadratic variation of the martingale; asymptotical optimality means \\( \\lim_{ \\varepsilon \\to 0} J^{\\varepsilon}(u) = \\lim_{ \\varepsilon \\to 0} \\{ J_0^{\\varepsilon} =\\inf_{u^{\\varepsilon}} J^{\\varepsilon} (u^{\\varepsilon}) \\}\\). Moreover, the statement holds for the case of \\( \\delta\\)-optimality in the sense that \\( J(u^{\\delta}) \\leq \\{J_0 = \\inf_u J(u) \\} + {\\delta}\\) implies \\(\\limsup_{\\varepsilon \\to 0} ( J^{\\varepsilon} (u^{\\delta}) - J_0^{\\varepsilon})\\leq \\delta \\). The statement also remains true in the case of Markov feedback controls. All mentioned results and the estimation \\(\\liminf_{\\varepsilon \\to 0} J_0^{\\varepsilon} \\geq J_0 \\) are obtained by using the technique of weak convergence of stochastic processes. Properties involving the prelimit model are described in Section 3 (relative compactness) and Section 5 (Lipschitz feedback control). Section 4 is devoted to problems of the limit model: feedback controls, existence of an optimal feedback control, existence of a \\(\\delta\\)-optimal Lipschitz and Markov feedback control. 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