讲座题目：A Unified Optimal Control framework: Time Optimal Control and Stochastic Optimal Control
主讲人：杨淑振 教授
主持人：李丹萍 教授
开始时间：2026.1.14 09:00
讲座地址：普陀校区理科大楼A1714
主办单位：统计学院
报告人简介：
杨淑振，山东大学金融研究院教授，博士生导师，山东省泰山学者青年专家。主要从事非线性期望、金融数学和随机最优控制问题的研究，在《Journal of Financial Econometrics》，《Journal of Mathematical Economics》,《经济研究》等期刊发表论文，主持国家自然科学基金青年、面上项目、华为横向课题等。
报告内容：
In this paper, we propose a unified stochastic optimal control framework that bridges time-optimal control problems and classical stochastic optimal control problems. Unlike traditional deterministic free-time optimal control formulations, our framework incorporates a generalized stochastic control structure under minimum-time constraints, where the minimum-time condition characterizes the earliest achievable moment for reaching a target state in expectation, and the terminal time becomes an endogenous control-dependent variable. The main contributions of this study are: Derivation of an extended stochastic maximum principle for the proposed model; Clarification of the connections between mean-field optimal control and time-optimal control problems.
