Zhenjie Ren (任振杰)

Publications

• Recent works

  1. Size of chaos for Gibbs measures of mean field interacting diffusions, with Songbo Wang (2024)

  2. Deciding Bank Interest Rates: A Major-Minor Impulse Control Mean-Field Game Perspective, with Fan Chen, Nicholas Martin, Po-Yu Chen, Xiaozhen Wang, and Francois Buet-Golfouse (2024)

  3. Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem, with Fan Chen, Giovanni Conforti and Xiaozhen Wang (2024)

• Optimization of particle system and its applications to neural networks

  1. Time-uniform log-Sobolev inequalities and applications to propagation of chaos, with Pierre Monmarché and Songbo Wang (EJP 2024)

  2. Self-interating approximation to McKean-Vlasov long time limit: a Markov chain Monte Carlo method, with Kai Du, Florin Suciu and Songbo Wang (2023)

  3. Uniform-in-time propagation of chaos for kinetic mean field Langevin dynamics, with Fan Chen, Yiqing Lin and Songbo Wang (EJP 2024)

  4. Mean field optimization problem regularized by Fisher information, with Julien Claisse, Giovanni Conforti and Songbo Wang (2023)

  5. Uniform-in-time Propagation of Chaos for Mean Field Langevin Dynamics, with Fan Chen and Songbo Wang (AIHP to appear)

  6. Entropic fictitious play for mean-field optimization problem, with Fan Chen and Songbo Wang (JMLR 2023)

  7. Entropic turnpike estimates for the kinetic Schrödinger problem, with Alberto Chiarini, Giovanni Conforti and Giacomo Greco (EJP 2022) 

  8. Ergodicity of the underdamped mean-field Langevin dynamics, with Anna Kazeykina, Xiaolu Tan and Junjian Yang (AAP 2024)

  9. Game on Random Environment, Mean-field Langevin System and Neural Networks, with Giovanni Conforti and Anna Kazeykina (MOR 2022)

  10. Mean-field langevin system, optimal control and deep neural networks, with Kaitong Hu and Anna Kazeykina (2019)

  11. Mean-field Langevin dynamics and energy landscape of neural networks, with Kaitong Hu, David Siska and Lukasz Szpruch (AIHP 2021)

  12. Mean Field Games with Branching, with Julien Claisse and Xiaolu Tan (AAP 2023)

  13. Principal-agent problem with multiple principals, with Kaitong Hu and Junjian Yang (Stochastics 2022)

• Path-dependent PDE and its applications in finance and economics

  1. Entropic optimal planning for path-dependent mean field games, with Xiaolu Tan, Nizar Touzi and Junjian Yang (SICON 2023)

  2. On path-dependent multidimensional forward-backward SDEs, with Kaitong Hu and Nizar Touzi (NACO 2023)

  3. Random horizon principal-agent problem, with Yiqing Lin, Nizar Touzi and Junjian Yang (SICON 2022)

  4. Nonlinear predictable representation and L1-solutions of second-order backward SDEs, with Nizar Touzi and Junjian Yang (AIHP 2022)

  5. Second order backward SDE with random terminal time, with Yiqing Lin, Nizar Touzi and Junjian Yang (EJP 2020)

  6. Viscosity solutions of path-dependent PDEs with randomized time, with Mauro Rosestolato (SIMA 2020)

  7. Comparison of viscosity solutions of semi-linear path-dependent PDEs, with Nizar Touzi and Jianfeng Zhang (SICON 2020)

  8. Principal-Agent problem with common agency without communication, with Thibaut Mastrolia (SIFIN 2018)

  9. Perron’s method for viscosity solutions of semilinear path dependent PDEs (Stochastics 2017)

  10. On the convergence of monotone schemes for path-dependent PDEs, with Xiaolu Tan (SPA 2017)

  11. Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs, with Nizar Touzi and Jianfeng Zhang (SIMA 2017)

  12. Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations (AAP 2016)

  13. Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation, with Jin Ma, Nizar Touzi and Jianfeng Zhang (AIHP 2016)

  14. A dual algorithm for stochastic control problems: Applications to uncertain volatility models and CVA, with Pierre Henry-Labordere and Christian Litterer (SIFIN 2016)

  15. An overview of viscosity solutions of path-dependent PDEs, with Nizar Touzi and Jianfeng Zhang (SAA 2014)