Optimal control is a special type of the optimization problem and has tremendous application. It deals with study of systems. The early developments of the theories were given by engineers whose systems were machines and their interactions were controls. However, nowadays the system covers a much wider range, such as the human body or a particular system of the human body, a particular industry or even the whole economy of country. In order to understand a system, mathematical equation representing it exactly or to reasonable approximation is written. Usually a system is represented by one of the equations: differential, partial- differential, integral, Integro-differential, difference, stochastic-differential and stochastic–integral equations, and such equations are known as models of the system.