The chapter reflects new scientific results in the field of optimal control of dynamic stochastic systems described by stochastic differential equations. A Markov process or a Markov field with values in Euclidean or Hilbert space are considered as control objects. The central problem of decision-making under conditions of uncertainty is the construction of effective (adequate) risk assessments and finding optimal strategies when solving current problems in economics, technology, biology, financial and actuarial mathematics, and many other areas of human activity. A range of applied problems that arise in this case are considered.