Additional Study Information: This study is being done to answer the following question: Can we add newer drugs to traditional chemotherapy combinations used for treatment of primary central nervous system lymphoma? We are doing this study because we want to find out whether rituximab, methotrexate, lenalidomide, and nivolumab can be safely combined for treatment of primary Central Nervous System (CNS) lymphoma and which dose is the most adequate when they are used together. Lenalidomide and nivolumab have demonstrated activity in primary CNS lymphoma but are still considered investigational in this setting and have not been used in combination with rituximab and methotrexate, the usual drugs used as the current standard of care. Investigational means that the combination of methotrexate, rituximab, lenalidomide, and nivolumab have not been approved by the Food and Drug Administration (FDA) for your cancer or any cancer and this is the first time these drug combinations are being used in humans. Once the combination is proven safe, this study will allow for future studies to determine whether the combination of these four drugs can improve the response to treatment and help increase the understanding of their use in primary CNS lymphoma treatment. In addition, we want to see whether we can extend the control of your CNS lymphoma by using these study drugs as maintenance (prolonged treatment) after control is achieved with the initial chemotherapy regimen (induction).