Cognitive radar can be aware of its environment, utilize intelligent signal processing, provide feedback from the receiver to the transmitter for adaptive illumination and preserve the information contents of radar returns. In this paper, based on the analysis of the parameters of radar mesurements, range-Doppler resolution cell is built up. Then stochastic dynamic programming model of waveform selection in cognitive radar is proposed, which is viewed as an important part of cognitive radar. In simulation, the importance of adaptive waveform selection in cognitive radar is shown.