This paper is presented, not so much as an end in itself concerning the solution of a definite engineering problem, but as an exploratory step toward the solution of the problem of optimal control of continuous time stochastic non-linear systems when only noisy observations of the state are available. In this paper, the problem of determining the optimal open loop control, when no observations at all are available, is treated by dynamic programming. The main results of the paper are to obtain the functional equation of dynamic programming and to present a quasi-linearization type of algorithm for its solution. The author's intention was to illustrate by these results that infinite dimensional function space is the most natural setting for stochastic non-linear problems. The results obtained give some insight into what can be expected in the more general case of noisy observations. In the Appendices an argument is presented to justify the proposed algorithm and an example is given for which an exact solution to the functional equation of dynamic programming can be obtained.