Search Results - "Ren, Zhenjie"

On the convergence of monotone schemes for path-dependent PDEs by Ren, Zhenjie, Tan, Xiaolu

“…We propose a reformulation of the convergence theorem of monotone numerical schemes introduced by Zhang and Zhuo (2014) for viscosity solutions to…”
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VISCOSITY SOLUTIONS OF FULLY NONLINEAR ELLIPTIC PATH DEPENDENT PARTIAL DIFFERENTIAL EQUATIONS by Ren, Zhenjie

“…This paper extends the recent work on path-dependent PDEs to elliptic equations with Dirichlet boundary conditions. We propose a notion of viscosity solution…”
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Perron's method for viscosity solutions of semilinear path dependent PDEs by Ren, Zhenjie

“…This paper proves the existence of viscosity solutions of path dependent semilinear PDEs via Perron's method, i.e. via showing that the supremum of viscosity…”
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Mean field games with branching by Claisse, Julien, Ren, Zhenjie, Tan, Xiaolu

“…Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution…”
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Time-uniform log-Sobolev inequalities and applications to propagation of chaos by Monmarché, Pierre, Ren, Zhenjie, Wang, Songbo

“…Time-uniform log-Sobolev inequalities (LSI) satisfied by solutions of semi-linear meanfield equations have recently appeared to be a key tool to obtain…”
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Uniform-in-time propagation of chaos for kinetic mean field Langevin dynamics by Chen, Fan, Lin, Yiqing, Ren, Zhenjie, Wang, Songbo

“…We study the kinetic mean field Langevin dynamics under the functional convexity assumption of the mean field energy functional. Using hypocoercivity, we first…”
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Ergodicity of the underdamped mean-field Langevin dynamics by Kazeykina, Anna, Ren, Zhenjie, Tan, Xiaolu, Yang, Junjian

“…We study the long time behavior of an underdamped mean-field Langevin (MFL) equation, and provide a general convergence as well as an exponential convergence…”
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Principal-agent problem with multiple principals by Hu, Kaitong, Ren, Zhenjie, Yang, Junjian

“…We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time,…”
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On the convergence of monotone schemes for path-dependent PDE by Ren, Zhenjie, Tan, Xiaolu

“…We propose a reformulation of the convergence theorem of monotone numerical schemes introduced by Zhang and Zhuo [32] for viscosity solutions of path-dependent…”
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Second order backward SDE with random terminal time by Lin, Yiqing, Ren, Zhenjie, Touzi, Nizar, Yang, Junjian

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Entropic turnpike estimates for the kinetic Schrödinger problem by Chiarini, Alberto, Conforti, Giovanni, Greco, Giacomo, Ren, Zhenjie

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Entropic turnpike estimates for the kinetic Schrödinger problem by Chiarini, Alberto, Conforti, Giovanni, Greco, Giacomo, Ren, Zhenjie

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Size of chaos for Gibbs measures of mean field interacting diffusions by Ren, Zhenjie, Wang, Songbo

“…We investigate Gibbs measures for diffusive particles interacting through a two-body mean field energy. By uncovering a gradient structure for the conditional…”
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Time-uniform log-Sobolev inequalities and applications to propagation of chaos by Monmarché, Pierre, Ren, Zhenjie, Wang, Songbo

“…Electron. J. Probab., 29, 154, 2024 Time-uniform log-Sobolev inequalities (LSI) satisfied by solutions of semi-linear mean-field equations have recently…”
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Uniform-in-time propagation of chaos for mean field Langevin dynamics by Chen, Fan, Ren, Zhenjie, Wang, Songbo

“…We study the mean field Langevin dynamics and the associated particle system. By assuming the functional convexity of the energy, we obtain the…”
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Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem by Chen, Fan, Conforti, Giovanni, Ren, Zhenjie, Wang, Xiaozhen

“…In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on R. We begin by introducing the dual formulation and prove the exponential…”
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Uniform-in-time propagation of chaos for kinetic mean field Langevin dynamics by Chen, Fan, Lin, Yiqing, Ren, Zhenjie, Wang, Songbo

“…Electron.J.Probab. 29(17) (2024) 1-43 We study the kinetic mean field Langevin dynamics under the functional convexity assumption of the mean field energy…”
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Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method by Du, Kai, Ren, Zhenjie, Suciu, Florin, Wang, Songbo

“…For a certain class of McKean--Vlasov processes, we introduce proxy processes that substitute the mean-field interaction with self-interaction, employing a…”
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Entropic Fictitious Play for Mean Field Optimization Problem by Chen, Fan, Ren, Zhenjie, Wang, Songbo

“…J.Mach.Learn.Res. 24(211) (2023) 1-36 We study two-layer neural networks in the mean field limit, where the number of neurons tends to infinity. In this…”
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On path-dependent multidimensional forward-backward SDEs by Hu, Kaitong, Ren, Zhenjie, Touzi, Nizar

“…This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential…”
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