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The noise is defined by a stochastic process with a family of random variables. Several variants of the optimal control problem are presented. In Variant I as ``Classical control'', \\(a\\) is known; the optimal strategy is defined and a limit is imposed on the control. The authors have used this assumption to advance their goal in the article; in the modern control, we do not need such assumptions for a time-invariant linear system with the known \\(a\\). In the second type, parameter \\(a\\) is unknown and the optimal strategy is proposed. Same goes for other variants. In the remainder of the article, which is very long, different strategies are introduced and studied. 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