In this article, we reconsider a version of quantum trajectory theory based on the stochastic Schrödinger equation with stochastic coefficients, which was mathematically introduced in the 1990s, and we develop it in order to describe the non-Markovian evolution of a quantum system continuously measured and controlled, thanks to a measurement-based feedback. Indeed, realistic descriptions of a feedback loop have to include delay and thus need a non-Markovian theory. The theory allows us to put together non-Markovian evolutions and measurements in continuous time, in agreement with the modern axiomatic formulation of quantum mechanics. To illustrate the possibilities of such a theory, we apply it to a two-level atom stimulated by a laser. We introduce closed loop control too, via the stimulating laser, with the aim of enhancing the 'squeezing' of the emitted light, or other typical quantum properties. Note that here we change the point of view with respect to the usual applications of control theory. In our model, the 'system' is the two-level atom, but we do not want to control its state, to bring the atom to a final target state. Our aim is to control the 'Mandel Q-parameter' and the spectrum of the emitted light; in particular, the spectrum is not a property at a single time, but involves a long interval of times (a Fourier transform of the autocorrelation function of the observed output is needed).