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The author investigates the following optimal control problem. Control strategies are modeled as the class \\({\\mathcal B}\\) of predictable processes for \\(\\Sigma\\) whose absolute values are \\(\\leq 1\\), and the controlled process \\((\\rho^b_t,X^b_t)_{t\\in R_+}\\) with \\(b\\in{\\mathcal B}\\) is defined by the stochastic integrals NEWLINE\\[NEWLINE\\rho_t^b= \\int^t_0 \\bigl(1-|b_u |^\\alpha \\bigr)du, \\quad X_t^b=\\int^t_0 b_udZ_u.NEWLINE\\]NEWLINE The payoff function \\(\\nu= \\nu(s,x)\\) on \\(\\mathbb{R}^2\\) defined by \\(\\nu(s,x)= \\sup_{b\\in{\\mathcal B}}\\nu^b(s,x)\\), where \\(\\nu^b(s,x)= E\\int^\\infty_0 e^{-\\lambda t}\\varphi^b_t f(s+\\rho^b_t, x+ X^b_t)dt\\), \\(\\varphi^b_t= (1-|b_t|^\\alpha)^{1/p} \\cdot|b_t |^{1 /q}\\), \\(\\lambda>0\\), \\(1/p+1/q=1\\), \\(p>1+1/ \\alpha\\) and \\(f:\\mathbb{R}^2\\to R_+\\) is smooth and null for \\(t\\notin [0,T[\\) or \\(x\\notin] -R,R[\\). The following main result is shown by adaptations to the actual case of methods given by Krylov (1987) to prove \\(L^p\\)-estimates of stochastic integrals w.r.t. diffusion processes: For \\(\\lambda >0\\), \\((s,x)\\in \\mathbb{R}^2\\) and \\(f:\\mathbb{R}^2\\to R_+\\) Borel measurable, NEWLINE\\[NEWLINE\\begin{multlined} E\\int^\\infty_0 e^{-\\left(\\lambda t\\int^t_0|b_u |^\\alpha du\\right)} |b_t|^{g/2} f(s+t,x+X^b_t) dt\\\\ \\leq N\\lambda^{-1/2+1/2 \\alpha}\\left\\{ \\int^\\infty_s e^{-2\\lambda (t-s)}\\left[ \\int^\\infty_{-\\infty}f^2(t,x)dx \\right]dt \\right\\}^{1/2}. \\end{multlined}NEWLINE\\]NEWLINE{}.NEWLINENEWLINEFor the entire collection see [Zbl 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