Curriculum vitae

Ren Zhenjie

Maître de conférences
CEREMADE

renping@ceremade.dauphinepong.fr
Site web personnel

Biographie

Zhenjie Ren is currently an assistant professor at CEREMADE. After the undergraduate and master study on pure and applied Mathematics in Fudan University (Shanghai, China), he moved to France and got a PhD in Financial Mathematics. His research is mainly concerned with the problems arising from optimization and control, and motivated by the applications in finance, economics and machine learning. More generally, he is interested in various topics across probability, partial differential equation, game theory etc. 

Dernières publications

Articles

Ren Z., Touzi N., Zhang J. (2020), Comparison of viscosity solutions of semi-linear path-dependent PDEs, SIAM Journal on Control and Optimization, vol. 58, n°1, p. 277–302

Ren Z., Tan X. (2017), On the convergence of monotone schemes for path-dependent PDE, Stochastic Processes and their Applications, vol. 127, n°6, p. 1738-1762

Ren Z. (2017), Perron’s method for viscosity solutions of semilinear path dependent PDEs, Stochastics: An International Journal of Probability and Stochastic Processes , vol. 89, n°6-7, p. 843-867

Ren Z., Touzi N., Zhang J. (2017), Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs, SIAM Journal on Mathematical Analysis, vol. 49, n°5, p. 4093-4116

Ren Z. (2016), Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations, Annals of Applied Probability, vol. 26, n°6, p. 3381-3414

Ma J., Ren Z., Touzi N., Zhang J. (2016), Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation, Annales Henri Poincaré, vol. 52, n°3, p. 1196-1216

Litterer C., Henry-Labordere P., Ren Z. (2016), A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA, SIAM Journal on Financial Mathematics, vol. 7, n°1, p. 159–182

Ren Z., Touzi N., Zhang J. (2014), An overview of viscosity solutions of path-dependent PDEs, Stochastic Analysis and Applications, p. 397-453

Prépublications / Cahiers de recherche

Conforti G., Kazeykina A., Ren Z. (2020), Game on Random Environement, Mean-field Langevin System and Neural Networks, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 24 p.

Hu K., Kazeykina A., Ren Z. (2019), Mean-field Langevin System, Optimal Control and Deep Neural Networks, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 25 p.

HU K., Ren Z., Yang J. (2019), Principal-agent problem with multiple principals, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 18 p.

Hu K., Ren Z., Siska D., Szpruch L. (2019), Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 29 p.

Claisse J., Ren Z., Tan X. (2019), Mean field games with branching, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 32 p.

Ren Z., Rosestolato M. (2018), Viscosity solutions of path-dependent PDEs with randomized time, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 34 p.

Ren Z., Touzi N., Yang j. (2018), Nonlinear predictable representation and L1-solutions of second-order backward SDEs, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 31 p.

Lin Y., Ren Z., Touzi N., Yang J. (2018), Second order backward SDE with random terminal time, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 36 p.

Mastrolia T., Ren Z. (2018), Principal-Agent Problem with Common Agency without Communication, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 32 p.

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