{"ID":2857892,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2510.07765","arxiv_id":"2510.07765","title":"A unified optimal control framework: time-optimal control and stochastic optimal control","abstract":"In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models, our approach incorporates a generalized stochastic control structure subject to minimum-time constraints. In this setting, the minimum-time condition is defined as the earliest achievable moment-in expectation-for reaching a target state, making the terminal time an endogenous and control-dependent variable. The main contributions of this work are twofold: first, we derive an extended stochastic maximum principle for the proposed model; second, we establish a bang-bang type optimal control for the linear time-optimal control problem. This unified stochastic optimal control framework facilitates the design of optimal strategies across diverse fields-such as finance, autonomous systems, and supply chain management-by enabling simultaneous minimization of operational costs and achievement of statistically-defined targets at the earliest feasible time. As an application, we solve a financial portfolio optimization problem within the proposed framework.","short_abstract":"In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models, our approach incorporates a generalized stochastic control structure subject to mi...","url_abs":"https://arxiv.org/abs/2510.07765","url_pdf":"https://arxiv.org/pdf/2510.07765v2","authors":"[\"Shuzhen Yang\"]","published":"2025-10-09T04:06:13Z","proceeding":"math.OC","tasks":"[\"math.OC\"]","methods":"[]","has_code":false}