It is assumed that a control object is described by the system of non-linear stochastic equationsdx= [f(x) +v(z)]dt+ σ(x)dW,t>0,x,zϵRn, whereWis a vector of independent standard Wiener processes andvis the control vector. It is further assumed that the processZis observed, described bydzt=xtdNt+yt(x)dBti= 1, ⃛n,x,zϵFtni, whereB= col (B1⃛,Bn) is a vector of independent standard Wiener processes andN= col (N1⃛,Nn) is a vector of doubly stochastic Poisson processes with intensity process {(λ1(Zt), ⃛, λn(Zt<)),t⩾ 0}. It is then shown how the processNcan be constructed, and for a given sampling processN, sufficient conditions are derived on optimal controls. In addition, the problem is dealt with of selecting an optimal sampling processNfor a given admissible control law.