Research Interests

Nonlinear PDEs, viscosity solutions, Path dependent PDEs, SPDEs, numerical solutions, large deviations, stochastic control, financial mathematics, etc.

Publications and Preprints

• Zhenjie Ren. Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs. Annals of Applied Probability, to appear, PDF


• Jin Ma, Zhenjie Ren, Nizar Touzi and Jianfeng Zhang. Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation. Annales de l'Institut Henri Poincare (B), to appear, PDF


• Pierre Henry-Labordere, Christian Litterer and Zhenjie Ren. A dual algorithm for stochastic control problems: Applications to uncertain volatility models and CVA, SIAM Journal of Financial Mathematics, to appear, PDF


• Zhenjie Ren, Nizar Touzi and Jianfeng Zhang. An overview of Viscosity Solutions of Path-Dependent PDEs, Stochastic Analysis and Applications 2014, Springer Proceedings in Mathematics & Statistics Volume 100, 2014, pp 397-453, PDF


• Zhenjie Ren, Nizar Touzi and Jianfeng Zhang. Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs. Preprint, arXiv:1410.7281 (2014)


• Zhenjie Ren. Perron's method for viscosity solutions of semilinear path-dependent PDEs, arXiv:1503.02169


• Zhenjie Ren, Xiaolu Tan. On the convergence of monotone schemes for path-dependent PDEs, arXiv:1504.01872


• Zhenjie Ren, Nizar Touzi and Jianfeng Zhang. Comparison of viscosity solutions of fully nonlinear degenerate parabolic Path-dependent PDEs. Preprint, arXiv:1511.05910 (2015)

PhD thesis

Path-Dependent Partial Differential Equation: Theory and Applications effectuated under the supervision of Prof. Nizar Touzi.

Teaching experience

• TD of Analysis 2 for students in L1, Paris 6, 2012-2013
• TD of Probability for students in L3, Paris 6, 2013-2014, 2014-2015
• TD of Stochastic Control for students in M2, Ecole Polytechnique/Paris 6, 2014-2015, 2015-2016