The quantum-mechanical formulation of a class of stochastic optimal control problems is investigated and two versions of non-linear Schrödinger equation are derived. First, a wave-function is introduced which connects the probability density function of a diffusion process with the minimum cost functional of the stochastic optimal control problem associated with the diffusion process. It is then demonstrated that this wave-function satisfies a kind of Schrödinger-Langevin equation in quantum physics. Finally, the probabilistic interpretation of the wave-function is discussed.