I found a Julian Francis Henry Grenfell, born 30 March 1888 in London. He was the older son of William Henry Grenfell (Lord Desborough). A newspaper report showed Captain the Hon. Julian Grenfell, D.S.O., son of Lord Desborough, died in a hospital on 26 May 1915 from wounds received in battle at Ypres on 13 May.
Is this the man you are looking for?