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Welcome to Miguel Martinez's home page !


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Current situation

I am Maître de Conférence at the University Paris-Est Marne-la-Vallée since september 2007.



Publications

  1. Etoré, Pierre ; Martinez, Miguel
    Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift

    To appear at ESAIM PS

  2. Etoré, Pierre ; Martinez, Miguel
    Exact simulation of one-dimensional stochastic differential involving the local time of the unknown process

    Monte-Carlo Methods and Applications, Vol 19(1) pp. 41-71 (2013)

  3. Gloter, Arnaud; Martinez, Miguel
    Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time

    Annals of Probability, (2012)

  4. Etoré, Pierre; Martinez, Miguel
    On the existence of a time inhomogeneous skew Brownian motion and some related laws

    Electronic Journal of Probability, (2012)

  5. Martinez, Miguel; Talay, Denis
    One-Dimensional Parabolic Diffraction Equations: Pointwise Estimates and Discretization of Related Stochastic Differential Equations With Weighted Local Times

    Electronic Journal of Probability, (2012)

  6. Martinez, Miguel; San Martin, Jaime; Torres, Soledad
    Numerical method for Reflected Backward Stochastic Differential Equations

    Stochastic Analysis and Applications (2011)

  7. Bardou, Olivier; Martinez, Miguel
    Statistical estimation for reflected skew processes

    Stat. Inference Stoch. Processes 13, (2010), 231:248

  8. Bernardin, Frédéric; Bossy, Mireille; Martinez, Miguel; Talay, Denis
    On mean discounted numbers of passage times in small balls of Ito processes observed at discrete times

    Elec. Comm. Prob. 14, (2009), 302-316

  9. Martinez, Miguel; Rubenthaler, Sylvain; Tanré, Etienne
    Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

    Stochastic Analysis and Applications vol. 27, (2009), no. 2, 270-296

  10. Fontbona, Joaquin; Martinez, Miguel
    Paths clustering and an existence result for stochastic vortex systems

    J. Stat. Phys. 128 (2007), no. 3, 699--719

  11. Lejay, Antoine; Martinez, Miguel
    A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

    Ann. Appl. Probab. 16 (2006), no. 1, 107--139

  12. Martinez, Miguel; Talay, Denis
    Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu

    C.R. Math. Acad. Sci. Paris 342 (2006), no. 1, 51-56


With J.P. Lepeltier : unpublished note Dynkin games and RBSDEs (available on demand)

PhD


Working group ASPro

Together with P.M. Samson and M. Hebiri, I am an organizer of the working group groupe de travail probabilités, statistiques et applications (ASPRo) which takes place (almost) every tuesday mornings at the UPMLV. Please send me an e-mail if you wish to receive the invitations of this working group.