A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. - Pierre Henry-Labordère; Christian Litterer; Zhenjie Ren (SIAM J. Financial Math., 2016)

Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs. - Zhenjie Ren; Nizar Touzi; Jianfeng Zhang (SIAM J. Math. Anal., 2017)

Principal-Agent Problem with Common Agency Without Communication. - Thibaut Mastrolia; Zhenjie Ren (SIAM J. Financial Math., 2018)

Mean-field Langevin System, Optimal Control and Deep Neural Networks. - Kaitong Hu; Anna Kazeykina; Zhenjie Ren (CoRR, 2019)

Ergodicity of the underdamped mean-field Langevin dynamics. - Anna Kazeykina; Zhenjie Ren; Xiaolu Tan; Junjian Yang (CoRR, 2020)

Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs. - Zhenjie Ren; Nizar Touzi; Jianfeng Zhang (SIAM J. Control. Optim., 2020)

Viscosity Solutions of Path-Dependent PDEs with Randomized Time. - Zhenjie Ren; Mauro Rosestolato (SIAM J. Math. Anal., 2020)

Random Horizon Principal-Agent Problems. - Yiqing Lin; Zhenjie Ren; Nizar Touzi; Junjian Yang (SIAM J. Control. Optim., 2022)

Entropic Fictitious Play for Mean Field Optimization Problem. - Fan Chen; Zhenjie Ren; Songbo Wang (J. Mach. Learn. Res., 2023)

Game on Random Environment, Mean-Field Langevin System, and Neural Networks. - Giovanni Conforti; Anna Kazeykina; Zhenjie Ren (Math. Oper. Res., 2023)

Entropic Optimal Planning for Path-Dependent Mean Field Games. - Zhenjie Ren; Xiaolu Tan; Nizar Touzi; Junjian Yang (SIAM J. Control. Optim., 2023)