  In this paper, we study the numerical method for stochastic optimal control
problems (SOCPs). By reducing the optimal control problem to the discrete case,
we derive a discrete stochastic maximum principle (SMP). With the help of this
SMP, we propose an effective discrete recursive method for SOCPs with feedback
control. We rigorously analyze errors of the proposed method and prove that the
cost obtained by our method is of first-order convergence. Numerical
experiments are carried out to support our theoretical results.
